Grinium effect in ESG-focused bonds

Subject. The article deals with the analysis of behavioral anomalies in the Russian sustainable finance market in the process of assessing the greenium effect in ESG bonds, and its volatility in the context of the ultra-tight monetary policy of the Bank of Russia. Objectives. The purpose is to identify anomalies in the sustainable finance (SF) market that affect the greenium effect. Methods. The study employs general scientific research methods by means of logical, comparative, and statistical analysis in the process of analyzing foreign practice, and scientific publications of domestic and foreign authors. Results. Currently, there is a behavioral anomaly the ESG bond market that leads to distortions in the supply and demand structure, volatility, duration, and investment attractiveness of ESG products. The greenium effect manifests itself in a decline in yield, which is not always reflected in the market price of bonds. The analysis revealed significant greenium in the Russian SF market, while it proved that the greenium is leveled out in market realities, in the process of calculating and comparing the duration. The paper confirmed the thesis that tough economic conditions and incentive measures of the VEB RF influence on ESG bonds’ attractive yield, which encourages investors to buy, and the ‘philanthropy’ factor is being pushed into second place. We formulated a set of proposals for ESG bond issuers. Conclusions. New investment patterns are being formed in the Russian market, stimulated by systemic measures of the regulator and rating agencies. The findings can be used in the process of modeling ESG bond issues.