Market Reaction to Green Bond Issuance
Post by MSF Chula at Friday, 8 January 2021 10:52 PM

This paper studies about short-run and long-run market reaction following green bond issuance announcement and post announcement returns globally, from the date of its first introduction in 2007 to 2019. We used event study to observe market reaction on the event dates and multiple regression to test relationship of firm specific characteristics and abnormal return including company profitability, natural log of total sales, growth and asset tangibility. The empirical result demonstrates that there are significantly negative cumulative average abnormal returns (CAARs) in the short-run and negative average buy-and-hold abnormal returns (BHARs) in the long-run. Moreover, there was no relationship found between firm specific characteristic variables and green bond issuance abnormal returns, which means that firm specific characteristics cannot act as an explanatory variable for the negative abnormal returns.

Last updated at Friday, 8 January 2021 10:52 PM