摘要
作为一种创新型绿色金融工具,绿色资产支持证券(ABS)在推动经济低碳转型中发挥重要作用。本文使用2016—2022年中国ABS市场的产品发行数据,采用倾向得分匹配模型构建绿色和非绿色ABS匹配集,基于漂绿风险视角考察了绿色ABS发行定价的影响因素。研究发现,绿色因子显著降低了ABS发行利差,这意味着我国绿色ABS市场存在正的绿色溢价。异质性分析发现,具有信用增级措施和在交易所市场发行的绿色ABS有更高的绿色溢价,说明投资者的漂绿担忧程度越低、亲环境偏好度越高,支付绿色溢价的意愿越强。进一步研究发现,通过向市场释放积极的绿色信号,第三方绿色认证和发行人的环保业务降低了投资者的漂绿担忧,提高了绿色溢价;投融资双方的信息不对称弱化了绿色认证的信号效应,但不影响绿色业务的信号功能。本文结论为我国优化绿色融资结构、完善绿色认证体系和实现低碳转型提供了参考。
As an innovative green financial instrument,green asset-backed securities(ABS)play a leading role in promoting the transition to a low-carbon economy.Based on the Chinese ABS issuance data from 2016 to 2022,this paper builds a green and nongreen ABS matched set by propensity score matching model and investigates the determinants of green ABS issue prices from a greenwashing risk perspective.This study finds that the green factor can significantly lower the ABS yield spread,suggesting that there is a positive green premium in Chinese green ABS markets.Our heterogeneity analysis indicates that green premium is higher for green ABS with credit enhancements and those issued in exchange-based markets.That is,the lower the level of investors'greenwashing concerns and the higher the level of investors'pro-environmental preference,the stronger their willingness to pay a green premium.Moreover,third-party green certification and environmental business can reduce investors'greenwashing concerns and increase green premium by sending favorable green signals to investors.The information asymmetry between issuers and investors undermines the signaling effect of green certification but does not affect that of green business.Our findings provide references for the optimization of green financing structure,the improvement of green certification system,and the achievement of low-carbon transition.
作者
黎茜茹
胡新
张雨菲
杨继华
Li Xiru;Hu Xin;Zhang Yufei;Yang Jihua
出处
《财经科学》
CSSCI
北大核心
2023年第7期49-63,共15页
Finance & Economics
基金
四川省科技厅软科学研究项目“碳中和背景下我国能源企业碳交易风险管理体系研究”(2022JDR0037)
国家自然科学基金面上项目“基于经济金融关联网络的系统性风险动态监管机制研究”(71673225)
教育部人文社会科学研究规划基金项目“基于经济金融关联网络的金融科技动态监管机制构建研究”(21YJA790084)的资助。
关键词
绿色资产支持证券
绿色溢价
漂绿风险
绿色信号
倾向得分匹配模型
Green Asset-backed Security
Green Premium
Greenwashing Risk
Green Signal
Propensity Score Matching Model
