Green Bonds: Doing well by doing good

Abstract: In this essay we study green bonds in a quantitative framework, comparing volatility, initial yield and price to standard bonds. The asset class was conceived in 2008 and our sample cover 2009-2014. We use panel- and time series data, and find significant differences in all three variables. Green bonds have been significantly less volatile than standard bonds; they have paid higher initial yields, but have had a stronger price development since issue. We conclude that green bonds have been a good investment for the buyers but less so for the borrower.