张丽宏,刘敬哲,王浩

• 1:清华大学经济管理学院金融系

摘要(Abstract)：

2016年以来,中国绿色债券市场取得了快速的发展。本文以2016年1月1日至2020年5月31日发行的绿色债券为样本,使用绿色债券与普通债券匹配的方法研究了中国绿色债券溢价。结果表明绿色债券收益率利差较匹配的普通债券收益率利差平均低17个基点,说明绿色债券有助于降低企业融资成本。绿色溢价随着时间的推移越来越显著,市场表现出逐渐学习和熟悉的过程。本文发现未经第三方认证的绿色债券相比经过认证的绿色债券收益率利差显著更低,规模较小和净资产收益率较低的公司更倾向于申请第三方认证,表明绿色认证市场可能存在逆向选择问题。本文的发现为发展我国绿色债券市场和完善绿色认证制度提供了参考。

关键词(KeyWords)： 绿色债券;绿色溢价;匹配法;绿色认证;债券利差

Abstract:

Keywords:

基金项目(Foundation): 清华自主科研基金的资助(项目号2019THZWLJ14)

作者(Author): 张丽宏,刘敬哲,王浩

DOI: 10.16513/j.cnki.cje.20210602.002

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• (1)本文将绿色溢价定义为绿色债券收益率利差减去(与之匹配的)普通债券的收益率利差。
• (1)国际上第一只绿色债券是2007年欧洲投资银行(European Investment Bank)发行的气候意识债券。
• (1)在稳健性检验中我们还尝试了匹配2只普通债券,结果没有明显差异。
• (2)这里的债券种类包括:商业银行债、其他金融机构债、私募公司债、一般公司债、企业债和中期票据。分类标准来自Wind数据库。
• (1)本文还保留了财务变量并将公司个体固定效应换成行业固定效应,结果依然稳健。
• (1)考虑篇幅原因,回归结果没有呈现在正文中。
• (1)现有文献中关于财务质量对企业决策的影响的研究也有很多,如Bharath et al.(2008)。
• (1)本文将国内四大认证机构定义为上文中市场份额占比前四名的联合赤道、中节能、中债资信和中财绿融四家机构。最近几年中诚信的市场份额增长较快,本文将该定义中的中财绿融替换为中诚信后结果依然稳健。