Menu Expand

Empirically Analyzing Market Reactions to Green Bond Issuances and Green Bond Disclosures of European Banks and Insurers

  1. Journals
  2. Economics, Finance, Business & Management
  3. Zeitschrift für die gesamte Versicherungswissenschaft
  4. Vol. Online First
  5. pp. 1–42

JOURNAL ARTICLE

Cite JOURNAL ARTICLE

Style
Kraus, A. Empirically Analyzing Market Reactions to Green Bond Issuances and Green Bond Disclosures of European Banks and Insurers. Zeitschrift für die gesamte Versicherungswissenschaft, 99999(), 1-42. https://doi.org/10.3790/zverswiss.2025.1456805
Kraus, Anna "Empirically Analyzing Market Reactions to Green Bond Issuances and Green Bond Disclosures of European Banks and Insurers" Zeitschrift für die gesamte Versicherungswissenschaft 99999., 2025, 1-42. https://doi.org/10.3790/zverswiss.2025.1456805
Kraus, Anna (2025): Empirically Analyzing Market Reactions to Green Bond Issuances and Green Bond Disclosures of European Banks and Insurers, in: Zeitschrift für die gesamte Versicherungswissenschaft, vol. 99999, iss. , 1-42, [online] https://doi.org/10.3790/zverswiss.2025.1456805
Format
Download

Empirically Analyzing Market Reactions to Green Bond Issuances and Green Bond Disclosures of European Banks and Insurers

Kraus, Anna

Zeitschrift für die gesamte Versicherungswissenschaft, Vol. (2025), Online First : pp. 1–42

Read Now Download (PDF)

Additional Information

Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/zverswiss.2025.1456805
Language
English
Pages
42
Keywords

Author Details

Anna Kraus, Friedrich-Alexander-Universität Erlangen-Nürnberg (FAU), School of Business, Economics and Society, Lange Gasse 20, 90403 Nürnberg, Germany

References

  1. Ahmad, M. M./Hunjra, A. I./Taskin, D. (2023): Do Asymmetric Information and Leverage Affect Investment Decisions? The Quarterly Review of Economics and Finance, 87(2): 337–345.  Google Scholar
  2. Bachelet, M. J./Becchetti, L./Manfredonia, S. (2019): The Green Bonds Premium Puzzle: The Role of Issuer Characteristics and Third-Party Verification. Sustainability, 11(4): 1–22.  Google Scholar
  3. Bhagat, S./Bolton, B./Lu, J. (2015): Size, Leverage, and Risk-Taking of Financial Institutions. Journal of Banking & Finance, 59(C): 520–537.  Google Scholar
  4. Baulkaran, V. (2019): Stock Market Reaction to Green Bond Issuance. Journal of Asset Management, 20(5): 331–430.  Google Scholar
  5. Boehmer, E./Masumeci, J./Poulsen, A. B. (1991): Event-Study Methodology under Conditions of Event-Induced Variance. Journal of Financial Economics, 30(2): 253–272.  Google Scholar
  6. Brown, S. J./Warner, J. B. (1985): Using Daily Stock Returns. The Case of Event Studies. Journal of Financial Economics, 14(1): 3–31.  Google Scholar
  7. Climate Bonds Initiative (CBI) (2023): Sustainable Debt Global State of the Market 2022. https://www.climatebonds.net/files/reports/cbi_sotm_2022_03e.pdf, access 2024/02/06, 1–32.  Google Scholar
  8. Deschryver, P./Mariz, F. de (2020): What Future of the Green Bond Market? How Can Policymakers, Companies, and Investors Unlock the Potential of the Green Bond Market?. Journal of Risk and Financial Management, 13(3): 1–26.  Google Scholar
  9. Di Tommaso, C./Mazzuca, M. (2023): The Stock Price of European Insurance Companies. What is the Role of ESG Factors?. Finance Research Letters, 56(6): 1–7.  Google Scholar
  10. European Commission (EC) (2018): Communication from the Commission to the European Parliament, the European Council, the Council, the European Central Bank, the European Economic and Social Committee and the Committee of the Regions. Action Plan: Financing Sustainable Growth. https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:52018DC0097, access 2023/12/15, 1–19.  Google Scholar
  11. European Commission (EC) (2019): Communication from the Commission to the European Parliament, the European Council, the Council, the European Central Bank, the European Economic and Social Committee and the Committee of the Regions. The European Green Deal. https://eur-lex.europa.eu/resource.html?uri=cellar:b828d165-1c22-11ea-8c1f-01aa75ed71a1.0002.02/DOC_1&format=PDF, access 2023/09/15, 1–24.  Google Scholar
  12. European Commission (EC) (2020a): Consultation Document. Consultation on the Renewed Sustainable Finance Strategy. https://finance.ec.europa.eu/system/files/2020-04/2020-sustainable-finance-strategy-consultation-document_en.pdf, access 2023/12/15, 1–38.  Google Scholar
  13. European Commission (EC) (2020b): Targeted Consultation Document. Establishment of an EU Green Bond Standard. https://finance.ec.europa.eu/system/files/2020-06/2020-eu-green-bond-standard-consultation-document_en.pdf, access 2023/12/15, 1–13.  Google Scholar
  14. European Commission (EC) (2021): Proposal for a Regulation of the European Parliament and of the Council on European Green Bonds. https://eur-lex.europa.eu/resource.html?uri=cellar:e77212e8-df07-11eb-895a-01aa75ed71a1.0001.02/DOC_1&format=PDF, access 2023/12/15, 1–65.  Google Scholar
  15. European Council (2022): Sustainable Finance: Council Agrees its Position on European Green Bonds. Press Release. https://www.consilium.europa.eu/en/press/press-releases/2022/04/13/sustainable-finance-council-agrees-its-position-on-european-green-bonds/pdf, access 2023/12/02, 1.  Google Scholar
  16. European Council (2023a): European Green Bonds: Council Adopts New Regulation to Promote Sustainable Finance. Press Release. https://www.consilium.europa.eu/en/press/press-releases/2023/10/24/european-green-bonds-council-adopts-new-regulation-to-promote-sustainable-finance/, access 2024/01/22.  Google Scholar
  17. European Council (2023b): Sustainable Finance: Provisional Agreement Reached on European Green Bonds. Press Release. https://www.consilium.europa.eu/en/press/press-releases/2023/02/28/sustainable-finance-provisional-agreement-reached-on-european-green-bonds/, access 2024/01/22.  Google Scholar
  18. European Parliament and European Council (2020): Regulation (EU) 2020/852 of the European Parliament and of the Council of 18 June 2020 on the Establishment of a Framework to Facilitate Sustainable Investment, and amending Regulation (EU) 2019/2088. Official Journal of the European Union, https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=CELEX:32020R0852&from=EN, access 2023/10/15, 1–31.  Google Scholar
  19. European Parliament and European Council (2023): Regulation (EU) 2023/2631 of the European Parliament and of the Council of 22 November 2023 on European Green Bonds and Optional Disclosures for Bonds Marketed as Environmentally Sustainable and for Sustainability-linked Bonds. Official Journal of the European Union, https://eur-lex.europa.eu/legal-content/EN/TXT/PDF/?uri=OJ:L_202302631, access 2024/02/08, 1–68.  Google Scholar
  20. European Sustainable Investment Forum (Eurosif) (2022): Eurosif Position on the EU Green Bond Standard (EU GBS). https://www.eurosif.org/wp-content/uploads/2022/02/Eurosif-A-workable-substantive-EU-Green-Bond-Standard.pdf, access 2023/11/30, 1–3.  Google Scholar
  21. Fama, E. F. (1970): Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(2): 383–417.  Google Scholar
  22. Fatica, S./Panzica, R./Rancan, M. (2021): The Pricing of Green Bonds: Are Financial Institutions Special?. Journal of Financial Stability, 54(8): 1–20.  Google Scholar
  23. Flammer, C. (2021): Corporate Green Bonds. Journal of Financial Economics, 142(2): 499–516.  Google Scholar
  24. Flannery, M./Hirtle, B./Kovner, A. (2017): Evaluating the Information in the Federal Reserve Stress Tests. Journal of Financial Intermediation, 29: 1–18.  Google Scholar
  25. Gatzert, N./Heidinger, D. (2020): An Empirical Analysis of Market Reactions to the First Solvency and Financial Condition Reports in the European Insurance Industry. The Journal of Risk and Insurance, 87(2): 407–436.  Google Scholar
  26. Goldstein, I./Kopytov, A./Shen, L./Xiang, H. (2022): On ESG Investing: Heterogeneous Preferences, Information, and Asset Prices. National Bureau of Economic Research (NBER) Working Paper Series, https://www.nber.org/papers/w29839, 1–82.  Google Scholar
  27. Hachenberg, B./Schiereck, D. (2018): Are Green Bonds Priced Differently from Conventional Bonds?. Journal of Asset Management, 19(2): 371–383.  Google Scholar
  28. Harris, R. S./Marston, F. C. (1994): Value versus Growth Stocks: Book-to-Market, Growth, and Beta. Financial Analysts Journal, 50(5): 18–24.  Google Scholar
  29. Immel, M./Hachenberg, B./Kiesel, F./Schiereck, D. (2021): Green Bonds: Shades of Green and Brown. Journal of Asset Management, 22(4): 96–109.  Google Scholar
  30. International Capital Markets Association (ICMA) (2022): Green Bond Principles. Voluntary Process Guidelines for Issuing Green Bonds. June 2021 (with June 2022 Appendix 1). https://www.icmagroup.org/assets/documents/Sustainable-finance/2022-updates/Green-Bond-Principles-June-2022-060623.pdf, access 2023/09/14, 1–8.  Google Scholar
  31. Jakubik, P./Uguz, S. (2021): Impact of Green Bond Policies on Insurers: Evidence from the European Equity Market. Journal of Economics and Finance, 45(2): 381–393.  Google Scholar
  32. Kordsachia, O./Bassen, A./Fieberg, C./Wolters, K. (2023): Market Perceptions on the Role of Female Leadership in Adapting to Climate Change. The Journal of Risk Finance, 24(4): 424–448.  Google Scholar
  33. Larcker, D. F./Watts, E. M. (2020): Where’s the Greenium?. Journal of Accounting and Economics, 69(2): 101312.  Google Scholar
  34. Lebelle, M./Jarjir, S. L./Sassi, S. (2020): Corporate Green Bond Issuances: An International Evidence. Journal of Risk and Financial Management, 13(2): 1–21.  Google Scholar
  35. Li, F. (2010): Textual Analysis of Corporate Disclosures: A Survey of the Literature. Journal of Accounting Literature, 29: 221–247.  Google Scholar
  36. Löffler, K. U./Petreski, A./Stephan, A. (2021): Drivers of Green Bond Issuance and New Evidence on the “Greenium”. Eurasian Economic Review, 11(1): 1–24.  Google Scholar
  37. London Stock Exchange Group (LSEG) (2023): Environmental, Social, and Governance Scores from LSEG. New York. https://www.refinitiv.com/content/dam/marketing/en_us/documents/methodology/refinitiv-esg-scores-methodology.pdf, access 2024/03/12, 1–33.  Google Scholar
  38. Loughran, T./McDonald, B. (2011): When Is a Liability Not a Liability? Textual analysis, Dictionaries, and 10-Ks. The Journal of Finance, 66(1): 35–65.  Google Scholar
  39. Loughran, T./McDonald, B. (2014): Measuring Readability in Financial Disclosures. The Journal of Finance, 69(4): 1643–1671.  Google Scholar
  40. MacKinlay, A. C. (1997): Event Studies in Economics and Finance. Journal of Economic Literature, 35(1): 13–39.  Google Scholar
  41. Mukhtarov, S./Schoute, M./Wielhouwer, J. L. (2022): The Information Content of the Solvency II Ratio Relevance to Earnings. Journal of Risk and Insurance, 89(1): 237–266.  Google Scholar
  42. Pástor, L./Stambaugh, R. F./Taylor, L. A. (2022): Dissecting Green Returns. Journal of Financial Economics, 146(2): 403–424.  Google Scholar
  43. Powell, J. L. (1984): Least Absolute Deviations Estimation for the Censored Regression Model. Journal of Econometrics, 25(3): 303–325.  Google Scholar
  44. Ramelli, S./Ossola, E./Rancan, M. (2021): Stock Price Effects of Climate Activism: Evidence from the first Global Climate Strike. Journal of Corporate Finance, 69(C): 1–14.  Google Scholar
  45. Standard and Poor’s (S&P) Global Ratings (2024): Sustainable Bonds Issuance to Approach $1 Trillion in 2024. Sustainability Insights. https://www.spglobal.com/_assets/documents/ratings/research/101593071.pdf, access 2024/06/08, 1–16.  Google Scholar
  46. Steuer, S./Tröger, T. H. (2022): The Role of Disclosure in Green Finance. Journal of Financial Regulation, 8(1): 1–50.  Google Scholar
  47. Strong, N. (1992): Modelling Abnormal Returns: A Review Article. Journal of Business Finance & Accounting, 19(4): 533–553.  Google Scholar
  48. Tang, D. Y./Zhang, Y. (2020): Do Shareholders Benefit from Green Bonds?. Journal of Corporate Finance, 61(C): 1–18.  Google Scholar
  49. Technical Expert Group on Sustainable Finance (TEG) (2019a): Report of the Technical Expert Group (TEG) subgroup on Green Bond Standard. Proposal for an EU Green Bond Standard. Interim Report. https://finance.ec.europa.eu/system/files/2020-06/190306-sustainable-finance-teg-interim-report-green-bond-standard_en_0.pdf, access 2023/12/14, 1–49.  Google Scholar
  50. Technical Expert Group on Sustainable Finance (TEG) (2019b): Report on EU Green Bond Standard. TEG Report. Proposal for an EU Green Bond Standard. https://finance.ec.europa.eu/system/files/2019-06/190618-sustainable-finance-teg-report-green-bond-standard_en.pdf, access 2023/12/13, 1–78.  Google Scholar
  51. Technical Expert Group on Sustainable Finance (TEG) (2020): Usability Guide EU Green Bond Standard. https://finance.ec.europa.eu/system/files/2020-06/200309-sustainable-finance-teg-green-bond-standard-usability-guide_en.pdf, access 2024/02/03, 1–51.  Google Scholar
  52. Verma, R. K./Bansal, R. (2023): Stock Market Reaction on Green-Bond Issue: Evidence from Indian Green-Bond Issuers. Vision: The Journal of Business Perspective, 27(2): 264–272.  Google Scholar
  53. Wang, J./Chen, X./Li, X./Yu, J./Zhong, R. (2020): The Market Reaction to Green Bond Issuance: Evidence from China. Pacific-Basin Finance Journal, 60(C): 1–19.  Google Scholar
  54. Wang, J./Zhou, Y./Luo, L./Ji, J. (2019): Research on the Factors Affecting the Risk Premium of China’s Green Bond Issuance. Sustainability, 11(22): 1–14.  Google Scholar
  55. Yekini, L. S./Wisniewski, T. P./Millo, Y. (2016): Market Reaction to the Positiveness of Annual Report Narratives. The British Accounting Review, 48(4): 415–430.  Google Scholar
  56. Zerbib, O. D. (2019): The Effect of Pro-environmental Preferences on Bond Prices: Evidence from Green Bonds. Journal of Banking and Finance, 98: 39–60.  Google Scholar
  57. Zhou, X./Cui, Y. (2019): Green Bonds, Corporate Performance, and Corporate Social Responsibility. Sustainability, 11(23): 1–27.  Google Scholar

Abstract

In diesem Beitrag werden Marktreaktionen auf die erstmalige Emission von Green Bonds und die erstmalige Offenlegung von Green Bond Rahmenwerken von 45 großen, börsennotierten europäischen Banken und Versicherungen mit einer Ereignisstudie empirisch analysiert. Unter Berücksichtigung der aktuellen regulatorischen Entwicklungen des European Green Bond Standards untersuchen wir, wie der Markt auf die Emission von Green Bonds und die Offenlegung von Green Bond Rahmenwerken von 2015 bis 2022 reagiert. Es wird auch analysiert, welche finanziellen Kennzahlen sowie Green Bond- und Rahmenwerks-bezogene Merkmale die Marktreaktionen beeinflussen, gemessen an kumulativen abnormalen Renditen. Wir stellen fest, dass die Marktreaktionen aufgrund sich ausgleichender positiver und negativer Effekte nicht signifikant sind. Allerdings können statistisch signifikante kumulative abnormale Renditen in absoluten Werten beobachtet werden. Schließlich identifizieren wir die Größe eines Unternehmens, den Verschuldungsgrad und den angebotenen Kupon (Textlänge und förderfähige grüne Projekte) als wesentliche Einflussfaktoren für positive und negative Marktreaktionen auf die erstmalige Emission grüner Anleihen (erstmalige Offenlegung von grünen Anleiherahmenwerken).

Table of Contents

Section Title Page Action Price
Anna Kraus: Empirically Analyzing Market Reactions to Green Bond Issuances and Green Bond Disclosures of European Banks and Insurers 1
Abstract 1
Zusammenfassung 1
1. Introduction 2
2. Theoretical Background 6
2.1 Literature Review on Market Reactions to Green Bond Issuances 6
2.2 Regulatory Developments of the European Green Bond Standard 11
3. Hypotheses and Methodology 12
3.1 Derivation of Hypotheses 12
3.2 Data Sample 15
3.3 Event Study Approach 17
4. Empirical Results 19
4.1 Descriptive Statistics 19
4.2 Regression Results 23
5. Further Analyses 26
5.1 Differences between Banks and Insurers 26
5.2 Robustness Checks 29
6. Summary and Implications 30
References 32
Appendix 36

Contact

Duncker & Humblot GmbH Carl-Heinrich-Becker-Weg 9 12165 Berlin, Deutschland T: +49 30 790006-0

Quick Navigation

2025 Duncker & Humblot GmbH

Powered by CloudPublish

We use cookies to ensure that you get the best experience on our website. Learn more about how we use cookies.