Do green bonds provide diversification benefits? The need for tax incentives
研究了绿色债券在多元化投资组合中的收益，发现美国和欧洲投资者受益，但全球市场效果不稳健，税收激励（如较低税率和亏损税收抵免）能使其收益更一致。
Abstract We examine whether, or under what conditions, green bonds offer diversification benefits when included in broad investor portfolios alongside assets from other financial markets. Using stochastic spanning non-parametric tests without any distributional assumptions on returns, we find that US and European investors benefit from adding green bonds to a diversified portfolio. However, the benefits are nuanced and non-robust out-of-sample in the global markets, and we evaluate whether tax incentives can make green bonds uniformly attractive for international investors. We find that with a somewhat lower tax rate and tax credits in case of losses, green assets offer consistent diversification benefits. Tax credits during market downturns preserve the diversification benefits even with higher tax rates.