Does Being Green Pay Off? The European Greenium and the Impact of Mandatory Sustainability Disclosure

Sammanfattning

This study examines the existence and determinants of a greenium in the European bond market. It assesses the impact of the Corporate Sustainability Reporting Directive (CSRD) on the green-conventional yield differential. Replicating the match-bond framework of Zerbib (2019), this analysis finds no statistically significant greenium at the aggregate level. However, heterogeneity analysis reveals that the greenium is not absent but rather concentrated among AAA/AA-rated, government and quasi-governmental issuers. Suggesting that high credit quality and public-sector character are key determinants of where investors accept lower yields for green exposure. Additionally, the CSRD policy study provides evidence that the greenium narrowed following the directive's entry into force, consistent with standardized disclosure reducing the informational advantage previously conferred by the green label. These findings carry implications for European green policy, the entities benefiting from lower capital costs are not the private corporations the European Commission sought to incentivize through the European Green Deal, but rather public-sector issuers already positioned to access cheaper funding, in combination with the findings of the policy study, it raises questions about whether the intended policy mechanism is functioning as designed.