Navigation auf zora.uzh.ch

Search ZORA

ZORA (Zurich Open Repository and Archive)

Different Shades of Green: Estimating the Green Bond Premium using Natural Language Processing

Benincasa, Emanuela; Fu, Jonathan; Mishra, Mrinal; Paranjape, Adityavardhan (2022). Different Shades of Green: Estimating the Green Bond Premium using Natural Language Processing. SSRN 22-64,2022, University of Zurich.

Abstract

We document the existence of a premium in the green bond market based on the greenness of green bonds. Using BERT, a natural language processing method for textual analysis, we develop a novel measure for bonds’ greenness and document that a 10 percent increase in the bond’s greenness corresponds to a decrease in annualized yield by between 4.86 to 8.71 basis points. In addition to greener bonds enjoying higher premiums, we find evidence that issuing a green bond has positive spillover effects on the pricing of subsequent conventional bonds’ issuance. Overall, our findings are consistent with firms relying on 'green' debt instruments to lower capital costs and raise cheaper financing.

Keywords: Green bonds, BERT model, Sustainable Finance, Bond premium

Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Finance
Dewey Decimal Classification:330 Economics
Scope:Discipline-based scholarship (basic research)
Language:English
Date:23 August 2022
Deposited On:28 Oct 2022 07:08
Last Modified:27 May 2024 15:23
Series Name:SSRN
ISSN:1556-5068
OA Status:Green
Free access at:Official URL. An embargo period may apply.
Publisher DOI:https://doi.org/10.2139/ssrn.4198065
Official URL:https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4198065
Other Identification Number:merlin-id:22869
Download PDF  'Different Shades of Green: Estimating the Green Bond Premium using Natural Language Processing'.
Preview
  • Content: Published Version
  • Licence: Creative Commons: Attribution 4.0 International (CC BY 4.0)

Metadata Export

Statistics

Citations

Dimensions.ai Metrics

Altmetrics

Downloads

91 downloads since deposited on 28 Oct 2022
31 downloads since 12 months
Detailed statistics

Authors, Affiliations, Collaborations

Similar Publications