| 8,774 | 374 | 185 |
| 下载次数 | 被引频次 | 阅读次数 |
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。
Abstract：China's green bond market has experienced rapid growth since 2016. Using green bonds issued during January 2016 and May 2020, we investigate China's green bond premium using a matching methodology. Yield spreads of green bonds are on average lower than the yield spreads of their non-green counterparts by 17 basis points, suggesting that green bonds reduce firm financing costs. The green premium becomes more significant over time, implying that the market gradually recognized the instrument's importance and benefits. Uncertified green bonds exhibit significantly lower yield spreads relative to those certified, and firms with smaller size and lower ROE are more likely to apply for certification, revealing adverse selection in green certification process. The findings render novel implications for further developing China's green bond market and improving the green certification system.
巴曙松,丛钰佳,朱伟豪.2019.绿色债券理论与中国市场发展分析[J].杭州师范大学学报(社会科学版),41(1):91-106.Ba S S,Cong Y J,Zhu W H.2019.Green bond theory and development analysis in China market[J].Journal of Hangzhou Normal University (Humanities and Social Science),41(1):91-106.
高强,邹恒甫.2015.企业债与公司债二级市场定价比较研究[J].金融研究,(1):84-100.Gao Q,Zou H F.2015.A comparative study on the secondary market pricing of China's enterprise bonds and corporate bonds[J].Journal of Financial Research,(1):84-100.
高晓燕,纪文鹏.2018.绿色债券的发行人特性与发行信用利差[J].财经科学,(11):26-36.Gao X Y,Ji W P.2018.Characteristics of issuers and credit spread of green bond issuance[J].Finance&Economics,(11):26-36.
龚玉霞,滕秀仪,赛尔沃,等.2018.绿色债券发展及其定价研究---基于二叉树模型分析[J].价格理论与实践,(7):79-82.Gong Y X,Teng X Y,Sai E W,et al.2018.The pricing and empirical research of green bonds based on the two-binomial tree model[J].Price:Theory&Practice,(7):79-82.
何平,金梦.2010.信用评级在中国债券市场的影响力[J].金融研究,(4):15-28.He P,Jin M.2010.On the impact of credit rating on bond market of China[J].Journal of Financial Research,(4):15-28.
马骏.2015.论构建中国绿色金融体系[J].金融论坛,20(5):18-27.Ma J.2015.On the construction of China's green finance system[J].Finance Forum,20(5):18-27.
王遥,徐楠.2016.中国绿色债券发展及中外标准比较研究[J].金融论坛,21(2):29-38.Wang Y,Xu N.2016.The development of Chinese green bonds and a comparative study of Chinese and foreign standards[J].Finance Forum,21(2):29-38.
杨希雅,石宝峰.2020.绿色债券发行定价的影响因素[J].金融论坛,25(1):72-80.Yang X Y,Shi B F.2020.The factors affecting the pricing of green bond issuance[J].Finance Forum,25(1):72-80.
姚明龙.2017.绿色债券发行利率折价因素实证分析[J].浙江金融,(8):55-59.Yao M L.2017.On the discount factors of green bond interest rate[J].Zhejiang Finance,(8):55-59.
Baker M,Bergstresser D,Serafeim G,et al.2019.Financing the response to climate change:The pricing and ownership of U.S.green bonds[R].Working paper.
Bauer R,Koedijk K,Otten R.2005.International evidence on ethical mutual fund performance and investment style[J].Journal of Banking&Finance,29(7):1751-1767.
Bharath S T,Sunder J,Sunder S V.2008.Accounting quality and debt contracting[J].The Accounting Review,83(1):1-28.
Bollen N P B.2007.Mutual fund attributes and investor behavior[J].Journal of Financial and Quantitative Analysis,42(3):683-708.
Chava S.2014.Environmental externalities and cost of capital[J].Management Science,60(9):2223-2247.
Deng Z Y,Tang D Y,Zhang Y P.2020.Is“Greenness”priced in the market?Evidence from green bond issuance in China[J].Journal of Alternative Investments,23(1):57-70.
Dhaliwal D S,Li O Z,Tsang A,et al.2011.Voluntary nonfinancial disclosure and the cost of equity capital:The initiation of corporate social responsibility reporting[J].The Accounting Review,86(1):59-100.
Febi W,Sch?fer D,Stephan A,et al.2018.The impact of liquidity risk on the yield spread of green bonds[J].Finance Research Letters,27:53-59.
Ehlers T,Packer F.2017.Green bond finance and certification[R].BIS Quarterly Review.
Flammer C.2021.Corporate green bonds[J].Journal of Financial Economics,forthcoming.
Hachenberg B,Schiereck D.2018.Are green bonds priced differently from conventional bonds?[J].Journal of Asset Management,19(6):371-383.
Heinkel R,Kraus A,Zechner J.2001.The effect of green investment on corporate behavior[J].Journal of Financial and Quantitative Analysis,36(4):431-449.
Hong H,Kubik J D,Scheinkman J A.2012.Financial constraints on corporate goodness[R].Working paper.
Hong H,Karolyi G A,Scheinkman J A.2020.Climate finance[J].Review of Financial Studies,33(3):1011-1023.
Hyun S,Park D,Tian S.2020.The price of going green:The role of greenness in green bond markets[J].Accounting&Finance,60:73-95.
Karpf A,Mandel A.2018.The changing value of the“green”label on the US municipal bond market[J].Nature Climate Change,8(2):161-165.
Magnanelli B S,Izzo M F.2017.Corporate social performance and cost of debt:The relationship[J].Social Responsibility Journal,13(2):250-265.
Renneboog L,Ter Horst J,Zhang C D.2008.The price of ethics and stakeholder governance:The performance of socially responsible mutual funds[J].Journal of Corporate Finance,14(3):302-322.
Riedl A,Smeets P.2017.Why do investors hold socially responsible mutual funds?[J].Journal of Finance,72(6):2505-2550.
Sharfman M P,Fernando C S.2008.Environmental risk management and the cost of capital[J].Strategic Management Journal,29(6):569-592.
Stellner C,Klein C,Zwergel B.2015.Corporate social responsibility and Eurozone corporate bonds:The moderating role of country sustainability[J].Journal of Banking&Finance,59:538-549.
Wang J Z,Chen X,Li X X,et al.2020.The market reaction to green bond issuance:Evidence from China[J].Pacific-Basin Finance Journal,60:101294.
Zerbib O D.2019.The effect of pro-environmental preferences on bond prices:Evidence from green bonds[J].Journal of Banking&Finance,98:39-60.
(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。
基本信息:
DOI：10.16513/j.cnki.cje.20210602.002
中图分类号:F832.51
引用信息:
[1]张丽宏,刘敬哲,王浩.绿色溢价是否存在?——来自中国绿色债券市场的证据[J].经济学报,2021,8(02):45-72.DOI:10.16513/j.cnki.cje.20210602.002.
基金信息:
清华自主科研基金的资助(项目号2019THZWLJ14)