Investigation of the greenium in commercial mortgage-backed securities
FINANCE RESEARCH LETTERS, cilt.104, 2026 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 104
- Basım Tarihi: 2026
- Doi Numarası: 10.1016/j.frl.2026.110180
- Dergi Adı: FINANCE RESEARCH LETTERS
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, ABI/INFORM
- Orta Doğu Teknik Üniversitesi Adresli: Evet
Özet
This paper investigates pricing differentials between securitized green and conventional fixed rate commercial mortgages and commercial mortgage-backed securities (CMBS) in the primary market, with a focus on the role of environmental attributes of these securities and regulatory shifts. This is the first study that examines the existence of a greenium in the mortgage as well as the mortgage-backed securities markets. Using regression and DiD analyses and Oaxaca-Blinder decomposition, the study identifies a "greenium" in both note rates (NR) for green commercial mortgages and pass-through rates (PTR) for green CMBS. Furthermore, third-party certification does not have an additional impact on NR but reduces PTR, suggesting that investors in the secondary market place a premium on certified green assets, thereby justifying certification costs. A policy change in September 2019 lowered the NR of certified green mortgages only, highlighting the increased value of certification in the commercial mortgages market. After this policy change, the PTR of green securities decrease more than that of green certified ones, indicating a decline in the value of certification in the asset backed securities market. These findings underscore the market's differentiated valuation of green signals and point to the importance of regulatory interventions.