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The green bond premium: Evidence from a multiverse analysis

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  • Bauckloh, Michael Tobias
  • Kirsch, Paula

Abstract

We study the green bond premium, defined as the yield differential between green and matched conventional bonds in the secondary market. Existing estimates vary widely, raising questions about their robustness. We address this by estimating the premium across more than 500,000 empirical designs spanning common sample and methodological choices. In this multiverse setting, the average premium is -2.59 basis points. It varies systematically with sample composition, with more negative values for municipal bonds, and becomes more negative during periods of heightened climate attention. Finally, we investigate which choices drive variation in premium estimates. We find that it is driven primarily by issuer type and matching choices, while other choices, such as liquidity adjustment, contribute little to overall variation.

Suggested Citation

  • Bauckloh, Michael Tobias & Kirsch, Paula, 2026. "The green bond premium: Evidence from a multiverse analysis," CFR Working Papers 26-06, University of Cologne, Centre for Financial Research (CFR).
    • Handle: RePEc:zbw:cfrwps:340841
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    More about this item

    JEL classification:

    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q54 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Climate; Natural Disasters and their Management; Global Warming

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