ESG incidents and corporate green bond market reaction
研究了ESG事件公告后绿色债券与普通债券的二级市场表现差异，发现绿色债券跌幅较小，原因在于其流动性较低导致投资者卖出成本更高。
This paper examines how the secondary market for corporate green bonds reacts to the announcement of Environmental, Social and Governance (ESG) incidents. We compare the cumulative abnormal returns (CARs) of green bonds with those of similar conventional bonds issued by the same firm, using a large international sample covering the period 2013–2022. Our results indicate that the performance of both green and conventional bonds declines after an ESG incident, but the decline is more pronounced for conventional bonds. We attribute this finding to the cost-effectiveness motive driving investors’ response to the ESG incident, as we find that a) there is no green premium (at issuance) in our sample, and b) green bonds are, on average, less liquid than conventional bonds, making the latter easier to sell due to lower transaction costs. Consistent with this argument, we observe opposite findings − namely, no significant performance differences and conventional bonds outperforming green bonds after the ESG incident − only in cases where green bonds exhibit higher liquidity, such as those issued by European firms or those compliant with the Climate Bond Initiative (CBI) standards.