Information Leakages in the Green Bond Market
Public announcement dates are used in the green bond literature to measure equity market reactions to upcoming green bond issues. We find a sizeable number of green bond announcements were pre-dated by anonymous information leakages on the Bloomberg Terminal. From a candidate set of 2,036 'Bloomberg News' and 'Bloomberg First Word' headlines gathered between 2016 and 2022, we identify 259 instances of green bond-related information being released before being publicly announced by the issuing firm. These pre-announcement leaks significantly alter the equity trading dynamics of the issuing firms over intraday and daily event windows. Significant negative abnormal returns and increased trading volumes are observed following news leaks about upcoming green bond issues. These negative investor reactions are concentrated amongst financial firms, and leaks that arrive pre-market or early in market trading. We find equity price movements following news leaks can be explained to a greater degree than following public announcements. Sectoral differences are also observed in the key drivers behind investor reactions to green bond leaks by non-financials (Tobin's Q and free cash flow) and financials (ROA). Our results suggest that information leakages have a strong impact on market behaviour, and should be accounted for in green bond literature. Our findings also have broader ramifications for financial literature going forward. Privileged access to financially material information, courtesy of the ubiquitous use of Bloomberg Terminals by professional investors, highlights the need for event studies to consider wider sets of communication channels to confirm the date at which information first becomes available.
Code (0)
등록된 구현이 없습니다.
Methods 이 논문이 사용한 방법론
Similar Papers 제목 키워드 기반
Governmental incentives for green bonds investment
Motivated by the recent studies on the green bond market, we build a model in which an investor trades on a portfolio of green and conventional bonds, both issued by the same governmental entity. The government provides …
Investigating Short-Term Dynamics in Green Bond Markets
The paper investigates the effect of the label green in bond markets from the lens of the trading activity. The idea is that jumps in the dynamics of returns have a specific memory nature that can be well represented thr…
Dynamic spillovers and investment strategies across artificial intelligence ETFs, artificial intelligence tokens, and green markets
This paper investigates the risk spillovers among AI ETFs, AI tokens, and green markets using the R2 decomposition method. We reveal several key insights. First, the overall transmission connectedness index (TCI) closely…
Monetary Policies on Green Financial Markets: Evidence from a Multi-Moment Connectedness Network
This paper introduces a novel multi-moment connectedness network approach for analyzing the interconnectedness of green financial market. Focusing on the impact of monetary policy shocks, our study reveals that connected…
Decision MakingManagementThe impact of the financial crisis on the long-range memory of European corporate bond and stock markets
This paper investigates the presence of long memory in corporate bond and stock indices of six European Union countries from July 1998 to February 2015. We compute the Hurst exponent by means of the DFA method and using …