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Stock market reaction to issuance of green bonds

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Resumo:This dissertation studies the impact of the issuance of green bonds on stock market returns. The time period selected is between November 4th, 2016 and December 14th, 2020. The sample contains a total of 460 green bonds issued by 229 unique issuers. November 4th, 2016 was chosen because it was a remarkable date for the sustainable market, the Paris Agreement entered into force. To fulfil the estimation and event windows requirements, issuers’ stock returns were extracted from September 1st, 2015 until January 29th, 2021. In order to analyse the impact, we conduct an event study. Due to the lack of free information on announcement dates, this study analyses the issuance date as the event date. The market model was used to estimate the parameters for the expected returns and so it was possible to calculate the abnormal returns and cumulative abnormal returns (that were used to analyse the impact). The empirical findings show that the market reacts positively in relation to the issuance of green bonds, specially before the event date. This can be explained due to the fact that we are analysing issuance dates instead of announcement dates, where the literature finds the biggest impact on the event date (announcement day). This results are consistent with the literature that indicates that the information may already be known before the event date. Overall, it is possible to say that market responds positively to good news (in this case, the issuance of a climate friendly financial instrument).
Autores principais:Leite, Bruno Daniel Costa
Assunto:Abnormal returns Event study Green bonds Stock market retums Market model Estudo de evento Mercado Modelo de mercado Obrigações verdes Retornos anormais
Ano:2021
País:Portugal
Tipo de documento:dissertação de mestrado
Tipo de acesso:acesso aberto
Instituição associada:Universidade do Minho
Idioma:inglês
Origem:RepositóriUM - Universidade do Minho

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