The effect of certification on green bond returns

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Tezin Türü: Yüksek Lisans

Tezin Yürütüldüğü Kurum: Orta Doğu Teknik Üniversitesi, Sosyal Bilimler Enstitüsü, Türkiye

Tezin Onay Tarihi: 2022

Tezin Dili: İngilizce

Öğrenci: GÜLŞAH BÜBER

Danışman: Seza Danişoğlu

Özet:

This thesis compares the daily secondary market total returns of green and brown bonds issued by the same issuers. Evidence suggests that investors have an incentive to invest in green bonds and this demand is reflected in green bond returns. When the return comparison is done based on whether the green bond is certified by the Climate Bonds Initiative (CBI), contrary to expectations, it is not possible to show any significant effect of this certification on the yield differential. The study also compares green bond returns within the sample based on whether (i) the green bond is certified by the CBI, or, (ii) the green bond’s issuer has an ESG rating. Results indicate that neither the presence of an issuer ESG rating nor the CBI certification of the bond has any significant impact on green bond returns. Lastly, the within-sample comparison of green bond returns is performed on a before- and after-pandemic basis. Findings show that following the start of the pandemic, a significant and positive relationship exists between ESG scores and green bond returns, implying a stronger demand for green bonds that are issued by companies with a public ESG rating.