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González Urteaga, Ana

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https://academica-e.unavarra.es/handle/2454/49191

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González Urteaga

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Ana

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Gestión de Empresas

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INARBE. Institute for Advanced Research in Business and Economics

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0000-0002-8256-8518

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Author: Shen, L. × Subject: CDS spreads ×

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    PublicationOpen Access
    Green bond issuance and credit risk: international evidence
    (Elsevier, 2024) Ballester Miquel, Laura; González Urteaga, Ana; Shen, L.; Gestión de Empresas; Enpresen Kudeaketa; Institute for Advanced Research in Business and Economics - INARBE; Universidad Pública de Navarra / Nafarroako Unibertsitate Publikoa, PJUPNA2023-11379
    We present the first empirical study of the impact of corporate green bond issuance announcements on issuer credit risk, as measured by their CDS spreads. We use a broad international sample of 1,048 green bonds issued between 2013 and 2022 by 200 entities from 26 countries. Our analysis reveals a significant, though not uniform, reaction in the CDSs. The sector of activity emerges as a critical determinant, particularly with respect to environmental exposure. While sectors highly exposed to environmental risk exhibit a reduction in issuer credit risk, all others, especially financial entities, react in the opposite direction. Our study highlights that the impact on credit risk is influenced by several other factors, including the issuer's overall ESG score, its E score, and various country-level metrics such as development level, environmental performance and political rights. We also identify other factors that affect credit risk, such as green bond ratings and operating cash flow.