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ИД «Финансы и кредит»






Finance and Credit

Modeling the green bond yield on bond offering

Vol. 26, Iss. 12, DECEMBER 2020

Received: 19 October 2020

Received in revised form: 2 November 2020

Accepted: 16 November 2020

Available online: 25 December 2020

Subject Heading: Securities market

JEL Classification: G12, G24

Pages: 2858–2878


Emets M.I. Financial University under Government of Russian Federation, Moscow, Russian Federation


Subject. The article addresses the green bond pricing as compared to bonds other than green ones.
Objectives. The aims are to determine how the fact that a bond is identified as a green one, the issue amount, and the availability of third-party verification, influence the yield to maturity; to make recommendations on effective green bond pricing.
Methods. The study employs econometric testing of hypotheses, using the multiple linear regression. The sample includes 318 green and 1695 conventional bonds.
Results. Green bonds have a lower yield to maturity in comparison with conventional bonds. The yield to maturity of green bonds with third-party verification is lower, as contrasted with green bonds without verification.
Conclusions. The next step in the green bond market development is creating a benchmark yield curve for sovereign green bonds, with parallel issuance of conventional, non-green bonds. The yield curve is crucial for effective bond pricing. Two yield curves, i.e. for green and non-green bonds, will enable investors to estimate the fair price on issuance, as well as to define, if there is a difference in pricing.

Keywords: green bond, climate bond, green finance, socially responsible investment


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ISSN 2311-8709 (Online)
ISSN 2071-4688 (Print)

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Vol. 26, Iss. 12
December 2020