The green bond market and its’ conventional counterpart, a comparison
Climate change is one of the biggest challenges faced in the 21st century. The topic has initiated a general trend in sustainability. A relatively recent area of this trend is the green bond market. Which was initiated a little over 10 years ago. This paper empirically investigates whether green bonds, from a return perspective, are comparable to conventional bond. And thereby, making the investment interesting for all bond investors and not only social investors. This is investigated by clustering and matching the bonds and testing the yield spreads. A second model uses Jensen’s alpha as a performance proxy to test whether the alphas of green bonds are significantly different to those of conventional bonds. No statistical significance is found that green bonds under- or-out perform conventional bonds in the daily data set tested from January 2018-March 2019.
Faculteit der Managementwetenschappen