The Greenness of European Green Bonds

We propose a synthetic green indicator incorporating several dimensions contributing to the definition of greenness at the bond level. We include information on the presence of a green label attributed by a data provider based on the use of proceeds of the funds raised and certifications by external institutions. Variables regarding how the proceeds of green bonds are managed and whether a commitment exists to ongoing reporting on the funded projects are also added to account for the transparency of the bond issuance. To establish its role among the determinants of green bond yields, we perform a regression analysis consistent with the literature on measuring the greenium. The study comprehends a sample of European corporate green bonds between 2013 and 2024, and results highlight a significant negative premium, indicating that, ceteris paribus, "the more green" a bond is, the higher its greenium.