How do green bonds perform compared to conventional bonds? Analysis of a potential green premium and its drivers since the Covid-19 Crisis.

The corporate green bonds in Europe represent an important instrument of green finance. In this paper, we perform diverse regressions to compare the performance between green and conventional bonds through their yield to maturity. We base our analysis on a sample composed of 100 bonds, analyzed by pairs and individually. The data retrieved from Bloomberg summarizes the period starting with Covid-19 in Europe. Our report suggests mixed results that differed from one period to another. We find a significant negative green premium (-20 bps) between February 2020 and February 2021. However, the green premium for the same period extended to July 2022 does not prove to be significant. Moreover, the significant drivers of the green premium we investigate are the issuer industry, S&P rating, and to some extent the maturity years. Nonetheless, the ESG rating, the amount issued, and the modified duration have no significant effect.