Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/176793 
Year of Publication: 
2018
Series/Report no.: 
DIW Discussion Papers No. 1728
Publisher: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Abstract: 
This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond-specific characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we find that, in particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of LOT decreases over time, implying that, nowadays liquidity risk is negligible for green bonds.
Subjects: 
Green Bond
Liquidity Risk
Yield Spread
Sustainable Investment
Fixed Income Security
Financial Innovation
JEL: 
G12
G32
Document Type: 
Working Paper

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