Unveiling the Greenium: Factors and Impact of Green Bonds in a Sustainable Finance Landscape

ABSTRACT The study examines the premium associated with Green Bonds, known as Greenium, through the analysis of 264 Green Bonds from an international dataset covering the period from October 23, 2019, to March 1, 2023. Utilizing double‐stage regression, the research identifies key factors affecting the Greenium, such as issuer credit ratings, transparency, adherence to International Capital Market Association norms, and the types of environmental projects financed. It reveals a Greenium of −57 basis points (bps) and highlights how bond features and financed projects influence investor returns and issuer costs. The paper emphasizes the critical role of transparency in reducing greenwashing risk, thus boosting investor confidence in Green Bonds. Moreover, the study analyzes the influence of significant global events such as the COVID‐19 pandemic and Ukraine war, finding no direct impacts on the premium. The paper enriches the existing literature and contributes to academic debate by enhancing understanding of how market variables and global events influence the sustainable bond market. It also provides useful contributions for managers and policy makers regarding the characteristics that bonds, both private and government, must have to meet the market's interest and effectively pursue the ecological transition objectives for which they are issued. In this regard, the findings highlight the significance of certifications and international standards to increase investor awareness, mitigate informational asymmetries, and improve the quality of bonds.