Do Shareholders Benefit from Green Bonds?
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1 Do Shareholders Benefit from Green Bonds? Dragon Yongjun Tang Yupu Zhang Faculty of Business and Economics University of Hong Kong JCF Special Issue Conference at Hong Kong PolyU December 2017 Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
2 Ongoing Debate Disagreements on working together tackling climate issues The Paris Climate Accord will undermine our economy and put us at a permanent disadvantage. Donald Trump Australians are voting on quitting the Paris accord. Europe and China are stepping up coordination by shifting to a low-carbon economy and reducing dependency on fossil fuels. Hong Kong is in a position to be the primary centre for green finance in the region. A large gap between our efforts and targets according to analysis Combining climate policies could increase GDP by 2.8%. (G20, 2017) Required investment USD 6.9 trillion per year. (OECD, 2016) Green bonds can attract private investment and enable the world to achieve growth in financial sector and green development. Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
3 Green Bond Rapid Growth Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
4 Geographical Distribution Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
5 MTR Green Bond Case Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
6 Findings and Contributions We are the first to compile most comprehensive green bond dataset and study shareholders benefits of issuance. Stock market reacts positively when firms announce issuance. Results are robust to alternative sample. Issuers stock liquidity improves after issuing green bonds. Panel regression and fixed effects. Matching sample. Firms carry on green projects themselves benefit from improved liquidity rather than banks, which make green loans to corporates. Implication: Shareholders will benefit from issuing green bonds. Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
7 Data Construction We choose Climate Bond Initiative (CBI) as our baseline data source: Established and recognized green bond standards and classification. Authority in green bond practice. Provide approvement for third party verifier. S&P green bond index eligibility criteria. We augment CBI with Bloomberg labelled green bonds. We identify bonds using ISIN with issue date and issue amount information. When there is a disagreement, we use web search. We validate our sample using conservative data and results are same. Announcement date and bond characteristics comes from Bloomberg. Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
8 Green Bond Summary Develop Comm State Muni Corp Bank Bank Backed ABS Sovereign Total Total Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
9 Bond Characteristics N mean sd min p50 max Amount (USD Million) Coupon (Percent) Maturity (Year) Country # Bonds Shares Currency # Bonds Shares US % USD % China % EUR % France 103 8% CNY % Note: Coupon zero means float coupon, e.g Gothenburg Jun 3, 2020; Note: Maturity 100 year bond is issued by District of Columbia Water. Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
10 Market Reaction Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
11 Market Reaction Window Obs Mean t-stat Std. Dev. Min Max P(signtest) [-10,5] % % % 17.34% [-10,10] % % % 25.59% [-5,10] % % % 21.05% [-5,5] % % -9.72% 8.64% Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
12 Green Bond Issuance and Stock Liquidity We following Holden, Jacobsen and Subrahmanyam (2014) literature review about liquidity measures and Lesmond (2005 JFE) about international stock markets and add controls according to that. Amihud I lliquidity = 1 days days i=1 R t Price t Volume t Quotedspread = Ask Bid Bid+Ask 2 Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
13 Liquidity Change after Issuance (1) (2) (3) (4) Liquidity log(amihud) log(amihud) log(amihud) log(amihud) Post Issue *** ** ** ** (0.06) (0.05) (0.05) (0.05) Price ** ** (0.01) (0.01) (0.00) Volume (0.157) (0.167) Volatility *** *** (0.02) (0.02) Size *** (0.13) Constant *** *** *** *** (0.03) (0.17) (0.17) (1.12) Observations R-squared Number of firms Firm FE YES YES YES Year FE YES YES YES Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
14 Robustness (1) (2) (3) (4) Liquidity Quoted Spread Quoted Spread Quoted Spread Quoted Spread Post Issue *** *** *** *** (0.02) (0.02) (0.02) (0.02) Price *** *** *** (0.00) (0.00) (0.00) Volume (0.054) (0.054) Volatility * * (0.02) (0.02) Size *** (0.05) Constant *** *** *** *** (0.01) (0.04) (0.04) (0.43) Observations R-squared Number of firms Firm FE YES YES YES YES Year FE NO NO YES YES Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
15 Shorter Window (1) (2) (3) (4) (5) (6) Liquidity log(amihud) log(amihud) log(amihud) Quoted Spread Quoted Spread Quoted Spread [-6m,6m] [-8m,8m] [-10m,10m] [-6m,6m] [-8m,8m] [-10m,10m] Post Issue ** * ** ** *** *** (0.05) (0.05) (0.05) (0.02) (0.02) (0.02) Price * ** *** *** (0.01) (0.01) (0.01) (0.00) (0.00) (0.00) Volume (0.083) (0.148) (0.192) (0.068) (0.066) (0.060) Volatility ** ** *** * (0.02) (0.02) (0.02) (0.02) (0.02) (0.02) Size *** *** *** * *** (0.16) (0.14) (0.13) (0.08) (0.06) (0.06) Constant *** *** *** *** *** *** (1.38) (1.17) (1.15) (0.68) (0.56) (0.49) Observations R-squared Number of firms Firm FE YES YES YES YES YES YES Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
16 Diff-in-diff Analysis for Matched Sample Amihud Turnover All sample [-6m,6m] [-3m,3m] All sample [-6m,6m] [-3m,3m] Post *** *** ** *** *** *** (-4.143) (-4.854) (-1.975) (-7.279) (-7.252) (-6.307) Treat (0.199) (0.206) (0.26) (-0.882) (-0.874) (-0.862) Treat*Post *** *** ** 2.571*** 2.550*** 2.531** (-5.388) (-4.307) (-2.087) (2.767) (2.74) (2.426) Controls YES YES YES YES YES YES Number of firms Year FE YES YES YES YES YES YES Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
17 Banks versus Firms Carrying out Green Projects Log(Amihud) Quoted Spread (1) (2) (3) (4) Liquidity Bank Corporates Bank Corporates Post Issue *** ** (0.07) (0.05) (0.08) (0.06) Price * (0.01) (0.00) (0.01) (0.00) Volume *** *** *** (0.12) (0.12) (0.03) (0.02) Volatility 0.219*** *** 0.149*** * (0.06) (0.02) (0.06) (0.02) MV ** ** (0.28) (0.12) (0.12) (0.06) Constant *** *** *** *** (3.05) (2.41) (1.30) (0.62) Observations R-squared Number of firms Firm FE YES YES YES YES Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
18 Summary This study is the first to construct most comprehensive international green bond dataset and study stock market reaction. The short term market reaction is significant positive. There are also other externalities to issue green bonds. Stock market liquidity improves after issuance. Improvement only benefits those firms carrying out green projects. Shareholders benefit from issuing green bonds! Dragon Yongjun Tang, Yupu Zhang (HKU) Do Shareholders Benefit from Green Bonds? December / 18
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