School of Finance and Institute of Chinese Financial Studies, Southwestern University of Finance and Economics, Chengdu, China.
PLoS One. 2024 Aug 12;19(8):e0306814. doi: 10.1371/journal.pone.0306814. eCollection 2024.
The financing costs of green asset-backed securities (ABS) are deeply affected by the increased information asymmetry and greenwashing risk resulting from risk transferring in securitization. To attract potential investors, many ABS issuers obtain external certifications, yet it is unclear whether they pay off financially. Based on a sample of 588 green ABS issued in China for 2016-2022, this paper examines the impact of external certification in the form of green certification and reputation of financial intermediaries involved in the issuance on the yield discount of green ABS over the paired non-green ABS. The empirical findings show that both external certifications lower the greenium of green ABS by serving as favorable signals and mitigating greenwashing concerns, especially in non-financial industry and the securities exchange market. Moreover, the information asymmetry and credit risk of issuers enhance the pricing effect of financial intermediary certification but undermine that of green certification. Our findings provide valuable implications to facilitate the financing efficiency of green financial markets and promote global low-carbon transition.
绿色资产支持证券（ABS）的融资成本受到证券化过程中风险转移导致的信息不对称和“漂绿”风险增加的深刻影响。为了吸引潜在投资者，许多 ABS 发行人获得了外部认证，但目前尚不清楚这些认证是否在财务上带来了回报。基于 2016-2022 年期间在中国发行的 588 笔绿色 ABS 的样本，本文考察了以绿色认证和参与发行的金融中介机构的声誉形式的外部认证对绿色 ABS 相对于配对的非绿色 ABS 的收益率折让的影响。实证结果表明，这两种外部认证都通过充当有利信号和减轻“漂绿”担忧，降低了绿色 ABS 的绿色溢价，尤其是在非金融行业和证券交易所市场。此外，发行人的信息不对称和信用风险增强了金融中介认证的定价效果，但削弱了绿色认证的定价效果。我们的研究结果为促进绿色金融市场的融资效率和推动全球低碳转型提供了有价值的启示。
