绿色债券溢价效应、作用机理与可持续绩效  

The Premium Effect,Mechanisms,and Sustainable Performance of Green Bonds

作　　者：王博 占林生 邸超伦 Wang Bo;Zhan Linsheng;Di Chaolun

机构地区：[1]南开大学金融学院,天津300350 [2]深圳证券交易所,广东深圳518038

出　　处：《南开学报（哲学社会科学版）》2024年第4期134-149,共16页Nankai Journal:Philosophy,Literature and Social Science Edition

基　　金：国家自然科学基金面上项目(72073076)。

摘　　要：本文将政策支持力度引入Gao和Schmittmann的逆向选择模型,刻画了绿色债券溢价的作用机理,并使用2016—2022年发行的绿色债券数据对理论推论进行实证检验。研究结果发现:(1)绿色债券的信用利差显著低于普通债券13个百分点,说明存在绿色溢价,并且获得第三方认证和绿色属性较高的绿色债券,绿色溢价更高;(2)机制分析发现绿色债券溢价会随着公司转型风险的增加而提高,政策支持力度的增加而减少,环境信息披露质量的提高而增加;(3)进一步分析发现,由于环境治理成本,企业发行绿色债券将降低企业的财务绩效但会提高环境绩效,并最终增加企业的可持续绩效。This article introduces the intensity of policy support into Gao and Schmittmann’s adverse selection model,delineating the mechanisms of the premium effect of green bonds.It empirically tests theoretical conclusions using data from green bonds issued between 2016 and 2022.The research findings are as follows:1)the credit spread of green bonds is significantly lower than that of conventional bonds by 13 percent,indicating the existence of a green premium.Green bonds certified by third parties and with higher green attributes exhibit a higher green premium;2)mechanism analysis reveals that the green bond premium increases with greater corporate transformation risk,decreases with increased policy support intensity,and increases with improved environmental disclosure quality;3)further analysis shows that due to environmental governance costs,issuing green bonds reduces a firm’s financial performance,but enhances environmental performance,ultimately increasing the firm’s sustainable performance.

关 键 词：绿色债券 转型风险 绿色溢价 可持续绩效 

分 类 号：F224[经济管理—国民经济] F832.51[环境科学与工程—环境科学] X196