A Study on Premium Analysis and Valuation of Chinese Green Bonds
Based on the green bond market in China,this paper summarizes the characteristics of the primary market of green bonds and the characteristics of the risk in the secondary market.It is found that in recent years,while the economic macro risk rising,the volitility of bond yields fluctuated at the same time,the green bond yield volatility showed a reverse trend,the market seems to be more optimistic about the prospects for the development of green projects.This may indicate that the future direction of economic development is sustainable,low-carbon development path,investors should increase the green project-related asset allocation,to avoid the economys long-term risk.Based on the research of cluster analysis and factor analysis,the author proves that the green attribute of green bond is relatively independent from other indexes of the company.At the same time,the author also finds that the bond rating has a collinearity problem with most model variables and incorporates the bond rating model Return effect is not good,there have been many contradictions.In this paper,we use financial data and some other indicators in the pricing model of green bonds.The results of multiple models show that the green bond is 0.2%to 0.4%lower than that of corporate bonds or corporate bonds.Moreover,in the small scale of fiscal revenue,green bonds can bring greater cost of the release,that is,green premium,which may be green bonds this certification to bring the value of information.
green premium cluster analysis factor analysis pricing-model value of information
Zijie Tang Desheng Wu
University of Chinese Academy of Sciences,Zhongguangcun East road 80,Beijing 100190,China
国际会议
上海
英文
285-287
2017-07-07（万方平台首次上网日期，不代表论文的发表时间）