Does the Greenium in Green Bond still exist? Empirical analysis in a sample of international Green Bond

The green bond market has seen exponential growth since the issuance of the first sustainable bond by the European Investment Bank (EIB) in June 2007. The increase in market size and interest in sustainability topics, in particular green, in the financial field, has led to the dissemination of many studies on the topic. Among these, studies focused on the relationship between Corporate Social Responsibility (CSR) and the Financial Performance of an issuing company have mainly shown a direct and significant positive relationship between the two dimensions (Yu-Shang Wang Yi-Jie Chen, 2018, Attig, N. et al, 2013, Aʇan, Y. Et al. 2016). The literature on sustainable investor behavior (Flammer C., 2021) has shown, on the other hand, the presence of the so-called Green Bond Premium (or greenium), a negative difference in yield (or positive in price) between Green Bonds and Traditional Bonds that can be considered as equivalent, except for the green component. It therefore seems that for financial products, investors are willing to pay a higher price in order to obtain the sustainable green product, in this case green bonds. The literature in recent years has been characterized by the presence of many works on the subject based on very different methodologies of analysis, with non-homogeneous results and, consequently, with a lack of clarity on the dynamics and determinants of this particular phenomenon. The work, therefore, is aimed at investigating the presence of greenium in the financial market, using a large sample of Green Bonds and Traditional Bond counterparts, applying analysis methodologies shared in the literature (Zerbib, 2019), also in order to evaluate the persistence of the effect in periods of high growth in emissions and market turbulence due to the crises related to the pandemic, the war in Ukraine, the rise in gas prices and inflation. The paper also intends to highlight what the determinants of greenium are, identifying some independent reference variables that can also allow to highlight the effect of greater transparency in terms of sustainability of the issuer on the value of greenium.