本研究以美國市場發行之綠色債券作為研究對象，探討綠色債券是否相對於普通債券具有綠色債券溢價，以及債券特性與發行人對於綠色債券的資訊揭露，是否與綠色債券溢價具關聯性。本研究首先採用配對法，為25檔綠色債券配對一檔同發行人及同債券特性之普通債券，並運用兩階段迴歸得到經流動性修正後之收益率差作為綠色債券溢價，進一步分析債券特性對於綠色債券溢價之影響性。除此之外，本研究亦進一步探討綠色債券發行人發行綠債後，對於綠色債券資訊揭露之各種方式，以分析資訊透明對於綠色債券溢價是否亦具有影響性。
本研究之實證結果顯示，美國發行之綠色債券存在-2bp之綠色債券溢價，顯示綠色債券收益率低於相比較之普通債券。進一步分析影響綠色債券溢價之因素，實證結果發現評等、發行人產業、附帶可贖回條款、債券發行人定期公布綠色債券相關資訊以及公布資金管理報告皆顯著影響綠色債券溢價。但發行人是否提供綠色債券的資金保證提供者之資訊，則對綠色債券溢價不具影響力。故根據本研究之實證結果，可說明當綠色債券資訊透明度愈高、資訊不對稱降低時，的確可增加投資人的投資信心進而提高綠色債券發行人之融資能力、降低綠色債券投資項目之融資成本。

This paper examines whether green bonds exist green bond premium compared to otherwise similar conventional bonds in the U.S. bond market. Further, this paper also studies the relationship between the variation of green bond premium and the bond characteristics as well as the disclosure of green bonds. First, we use a matching method to match 25 green bonds to conventional bonds with same issuers and characteristics. Then, applying a two-step regression procedure, we estimate liquidity-adjusted yield premium and use it as green bond premium. Finally, we analyze how bond features and information transparency can affect green bond premium.
Our empirical result indicates that on average there is a green bond premium of -2 basis points in the U.S. bond market, which means green binds’ yields are lower than conventional bonds’. Furthermore, evidence shows that rating, sectors, call options, and disclosure of loan reports and loan management of proceeds all have significant effects on the magnitude of green bond premium, while whether issuers disclose loan assurance providers does not. In conclusion, the result provides evidence that greater information transparency of green bonds can boost investors’ confidence, so that green bond issuers are able to expand the funding capacity of green bond issuers and lower the cost of green projects.

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