Template-Type: ReDIF-Article 1.0

Author-Name: Emilia Nemeth-Durko
Author-Workplace-Name: Corvinus University of Budapest
Author-Email: emilia.durko@uni-corvinus.hu
Author-Person:	pnm4

Author-Name: Anita Hegedus
Author-Workplace-Name: Corvinus University of Budapest
Author-Email: hegedus.anita96@gmail.com


Title: Climate Change in the Capital Markets: A Study of Actively Managed Green Bond Funds

Abstract: In this study, we carried out a performance analysis of green bond portfolios
available from public databases for the period between 2017 and 2020. The aim of
our research was to obtain empirical proof for the existence of the green premium,
which was confirmed by risk-adjusted indicators, i.e. the Sharpe ratio, the M2 ratio
and the Sortino ratio. The green premium is the return differential that can be
measured between green and conventional financial instruments. According to the
literature, investors are willing to forego 1 to 9 basis points of their returns in the
interests of financing climate targets, to cover the issuer's extra costs incurred from
green bond ratings and reporting obligations. Our results confirmed that the green
bond portfolio underperforms benchmark indices by an average green premium of
2 basis points. We only found a single green bond fund that did not involve a green
premium and was capable of achieving a risk-adjusted excess return. Nevertheless,
it is noted that all of the indicators used showed that the average performance of
green bonds improved steadily each year in the period under review.

Classification-JEL: C5, G10, G31, G38, Q50
Keywords: sustainable investments, climate finance, green bonds, portfolio analysis
Pages: 38-64.
Volume: 20
Issue: 4
Year: 2021
File-URL: https://en-hitelintezetiszemle.mnb.hu/letoltes/fer-20-4-st2-nemeth-durko-hegedus.pdf
File-Format: Application/pdf
Handle: RePEc:mnb:finrev:v:20:y:2021:i:4:p:38-64.