Green Bonds: The issuance announcement effect on stock price

Our study focuses on the reaction of the stock price movement when a company announces a Green Bond issuance. We assess the stock abnormal return resulted from the study event (announcement of green bond issuance). The data includes all green bonds issued by publicly listed companies since the first green bond issuance in 2007 till June of 2023 and their respective stock prices. To analyse the market reaction, we compute the average cumulative abnormal returns (CARs) for several short time windows ([-5d, +10d], [-10d, +10d], [-2d, +5d], [-10d, -2d], [0d, +5d], [+5d, +10d], and [+2d, +10d], and finally test the significance of the results. Results indicate that the announcement of a green bond issuance, on average, has a negative impact on the stock price of a company. We also split our data into sub-samples (sectors, currencies, countries, betas, and time splits). We conclude that the non-chronological variants are not strong enough to draw clear conclusions regarding the effect of green bond issuance announcement on the stock price. Moreover, we also figure that the effect substantially changes overtime (intensity and direction).