| Abstract [eng] |
The main purpose of this master thesis is to reveal how new green bond issuance announcements affect issuers' stock price in the short term. The study focuses on listed, non-financial corporations, which issue bonds in European markets. The master thesis consists of three main parts: the literature review, the research methodology, and the empirical study results. The literature review highlights credibility issues that green bonds have with labeling frameworks. Issuers are able to self-label bonds as green. Even if the certified green label is obtained, there are lack of stringent regulations in place of greenwashing. The evidence of “greenium” is unclear, existence of it varies based on sample and calculation methods. Green bonds prove to be a valuable risk management tool. The methodology part develops four main hypotheses and provides a thorough description of the event study setup to investigate abnormal issuers' stock returns after the green bond issuance announcement. Abnormal returns are calculated for multiple event windows, which range from [-10; +10] days around the announcement date. A large focus is put on the description of event study significance tests, such as parametric standardized cross-sectional test. The main finding shows that CAAR estimated using CAPM, from January 1, 2013, to January 1, 2023, for European corporate green bond issuers, using event window [-10,10] is -0.78% (significant at 10%). Until January 1, 2020, observed abnormal stock price returns are positive, consistent with existing literature. However, after 2020, abnormal returns became negative, indicating market perception shift towards green bond issuances. Furthermore, first-time issuances receive positive abnormal returns, while subsequent issuances negatively affect a firm’s value. The study findings indicate that abnormal returns are influenced by both the issuers' credit rating and the industry. |
