Quantitative Comparison of the Issue Yield of Green Bonds and Conventional Bonds (BestMasters)

Due to the novelty of green bonds in the fixed income area, little empirical research has been done on the question which impact the fact that a bond is investing in green projects has on the yield that investors receive. The aim of this book is to determine if there is a discount or premium on the yield at issuance of green bonds. The analysis is mainly based on an empirical study. The author examined the influence of eight selected indicators on the issue yield of bonds using a multivariate regression analysis. The analyzed sample comprised data sets of 601 bonds. Abstract Abstrakt Contents Abbreviations List of Figures List of Tables List of equations 1 Introduction 1.1 Topic and its relevance 1.2 Aim of the thesis 1.3 Methodological approach 1.4 Structure 2 Bonds 3 Yield measurements 3.1 Current yield 3.2 Yield to maturity 3.3 Modified versions of the yield to maturity 3.3.1 Yield to call 3.3.2 Yield to worst 4 Sustainable investments 4.1 Description 4.2 Sustainable investment opportunities 5 Green Bonds 5.1 Description 5.2 Types of Green Bonds 5.3 Regulation 5.3.1 Green Bond Principles (GBP) 5.3.2 Climate Bonds Standard (CBS) 5.3.3 EU Green Bond Standard (EU-GBS) 5.4 Market Evolution 5.5 Benefits 5.5.1 Issuers 5.5.2 Investors 6 Linear regression 6.1 Assumptions 6.2 Dummy Variables 6.3 Overall F test 6.4 Simple linear regression 6.4.1 Variation 6.4.2 Standard error 6.4.3 Coefficient of determination R2 6.5 Multivariate Regression 6.5.1 Coefficient of multivariate determination 6.5.2 Adjusted coefficient of determination 7 Empirical Part 7.1 Data 7.1.1 Source 7.1.2 Methodology 7.1.3 Selection 7.1.4 Sampling 7.1.5 Methodology 7.1.6 Data Description 7.2 Regression Variables 7.2.1 Issue Yield 7.2.2 Green 7.2.3 Italy 7.2.4 Maturity 7.2.5 Rating 7.2.6 Risk-Free Rate 7.2.7 Sector 7.2.8 Spread 7.2.9 Stock Volatility 7.3 Hypothesis 7.4 Results 7.4.1 Descriptive Statistics 7.4.2 Distribution Analysis 7.4.3 Multivariate Regression Model 7.4.4 Significance of the Overall Multivariate Regression Model 8 Conclusion References