Deciphering Greenium: The Role of Investor Demand
利用债券发行数据，研究发现绿色债券的溢价源于ESG投资者的专属需求，他们订单量大且价格敏感度低，使承销商能压缩利差，为理解绿色金融定价机制提供直接证据。
Using security-level bookbuilding data, we examine the pricing dynamics and demand of green bond offerings (GBOs) relative to their conventional counterparts. We show that greenium arises from ESG-focused investors’ almost exclusive demand for GBOs. GBOs typically receive significantly larger order books, allowing underwriters to compress offering spreads more for GBOs than for comparable conventional offerings. Even at the same level of investor demand, underwriters tighten spreads more for GBOs, suggesting that ESG-focused investors exhibit lower price sensitivity. These results remain robust when we proxy for ESG-focused investor demand in the primary market using their holdings of similar bonds in the secondary market. Further analyses rule out the temporary price pressure or liquidity preference explanations. Our study provides direct evidence to support investor-tastes models. This paper was accepted by Prof. Bo Becker, finance. Supplemental Material: The data files are available at https://doi.org/10.1287/mnsc.2024.05106 .