A0667
Title: The greenness of European green bonds in an asset pricing setting
Authors: Paola Galfrascoli - University of Milano-Bicocca (Italy) [presenting]
Elisa Ossola - Universita Milano - Bicocca (Italy)
Gianna Monti - University of Milano-Bicocca (Italy)
Abstract: A systematic green risk factor is proposed to be used in an asset pricing model for bond instruments. This factor is evaluated as the difference in returns between a green and a brown portfolio, where greenness is measured by a synthetic indicator incorporating several dimensions contributing to the definition of greenness at the bond and the issuer level. In the first case, information is such as the presence of a green label attributed by the issuer itself and/or by a data provider based on the use of proceeds of the funds raised and certifications by external institutions. At the issuer level, the environmental rating provided by MSCI and industry classification are considered, identifying sectors that are climate-policy relevant. The focus is on the analysis on European corporate bonds for which such information is available in FactSet and Bloomberg databases.
