Climate concerns, salient events, and green preferences
研究气候担忧和气候事件如何影响投资者对可持续资产的偏好，通过分析绿色债券的收益率折价（绿色溢价），发现其平均较小，但对气候关注和事件反应显著，且仅在欧洲市场存在事件效应。
This paper examines how climate concerns and climate-related events influence investor preferences for sustainable assets by analyzing the dynamics of greenium, defined as the yield discount on labeled green bonds under strict matching conditions. Using daily data from 2017 to 2023 for USD and Euro denominated bonds, and controlling for liquidity, yield curve slope, and volatility, we find that the greenium is modest on average. However, it responds significantly to shifts in climate-related attention and climate events. The latter effect is found only in European markets. Decomposing climate concerns variations into positive and negative components reveals a reversible response, raising concerns about the stability of green preferences as a long-term funding channel.