IDEAS home Printed from https://ideas.repec.org/p/dar/wpaper/142300.html

Greenium, credit rating and the COVID-19 pandemic

Author

Listed:
  • Arat, Emre
  • Hachenberg, Britta
  • Kiesel, Florian
  • Schiereck, Dirk

Abstract

We analyze green and conventional bonds during regular market periods and within times of extreme volatility, the COVID-19 pandemic. We find a negative premium (greenium) of 1.6 bp before the outbreak of COVID-19, but during the times of extreme market stress, this greenium widens to 3.5 bp as our results show a significant outperformance of green bonds. The results indicate that green bonds are more resilient during risk-off periods than non-green bonds. In addition, the greenium effect is moderated by the issuer's country environmental performance as the greenium is more pronounced for issuers from non-green countries prior to COVID-19. We do not find differences between green and non-green countries since COVID-19.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Arat, Emre & Hachenberg, Britta & Kiesel, Florian & Schiereck, Dirk, 2023. "Greenium, credit rating and the COVID-19 pandemic," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 142300, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    • Handle: RePEc:dar:wpaper:142300
    Note: for complete metadata visit http://tubiblio.ulb.tu-darmstadt.de/142300/
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Danilo Liberati & Giuseppe Marinelli, 2025. "Was Covid-19 a wake-up call on climate risks? Evidence from the greenium," Empirical Economics, Springer, vol. 68(6), pages 2549-2585, June.
    2. Fiorillo, Paolo & Meles, Antonio & Salerno, Dario & Verdoliva, Vincenzo, 2024. "Geopolitical turmoil and investor green preference: Evidence from the corporate bond market," Journal of International Money and Finance, Elsevier, vol. 149(C).
    3. Pietsch, Allegra & Salakhova, Dilyara, 2025. "Pricing of green bonds: Greenium dynamics and the role of retail investors," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 104(C).
    4. Fatica, Serena & Panzica, Roberto, 2024. "Sustainable investing in times of crisis: Evidence from bond holdings and the COVID-19 pandemic," Journal of Banking & Finance, Elsevier, vol. 166(C).
    5. Dragotto, Massimo & Dufour, Alfonso & Varotto, Simone, 2025. "Greenium fluctuations and climate awareness in the corporate bond market," International Review of Financial Analysis, Elsevier, vol. 105(C).
    6. Fiorillo, Paolo & Meles, Antonio & Ricciardi, Antonio & Verdoliva, Vincenzo, 2025. "ESG performance and the cost of debt. Evidence from the corporate bond market," International Review of Financial Analysis, Elsevier, vol. 102(C).
    7. Maneesh Gupta & Vipul Kumar Singh & Pawan Kumar, 2025. "Resilience of green bonds in portfolio diversification: evidence from crisis periods," Journal of Asset Management, Palgrave Macmillan, vol. 26(3), pages 298-315, May.
    8. Rihab Belguith, 2025. "Dynamics of Green and Conventional Bonds: Hedging Effectiveness and Sustainability Implication," IJFS, MDPI, vol. 13(2), pages 1-25, June.
    9. Ying, Qianwei & Peng, Xinyue & He, Siyi, 2025. "The origin of greenium in China’s bond market: green preference or government support?," Finance Research Letters, Elsevier, vol. 85(PC).
    10. Monia Magnani & Massimo Guidolin & Ian Berk, 2024. "Strong vs. stable: the impact of ESG ratings momentum and their volatility on the cost of equity capital," Journal of Asset Management, Palgrave Macmillan, vol. 25(7), pages 666-699, December.

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility
    • Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dar:wpaper:142300. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dekanatssekretariat (email available below). General contact details of provider: https://edirc.repec.org/data/ivthdde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.