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We analyse the existence of a green bond premium and find a negative premium of 8 to 14 basis points. We are further interested in the influence of ESG ratings on green bonds to determine if investors differentiate between the shade of green. Examining a unique dataset of green bonds, we find a statistically significant influence of ESG ratings on bond spreads. A one-point increase in the weighted average ESG score leads to a decrease in the spread of 6 to 13 basis points. Interestingly, the results are not driven by the environmental friendliness of the green bond issuer, but through the company’s governance.

This study analyzes mergers and acquisitions (M&A) payment methods in large transactions of public U.S. acquirers between 2009 and 2016. While we find consistent with previous evidence that asymmetric information between acquirers and targets significantly influences the choice of M&A payment methods, we show that contrary to prevailing findings in the literature, acquirers cannot exploit their overvaluation through stock-financed M&A at targets’ disadvantage. In addition, when facing larger uncertainty in the counterparty’s valuation, a higher ratio of cash is applied in M&A payment. Our results document that both acquirers and targets are rational in choosing M&A payment methods.

The young growing market for green bonds offers investors the opportunity to take an explicit focus on climate protecting investment projects. However, it is an open question whether this new asset class is also offering attractive risk–return profiles compared to conventional (non-green) bonds. To address this question, we match daily i-spreads of green-labeled and similar non-green-labeled bonds and look at their pricing differentials. We find that rating classes AA–BBB of green bonds as well as the full sample trade marginally tighter for the respective period compared to non-green bonds of the same issuers. Furthermore, financial and corporate green bonds trade tighter than their comparable non-green bonds, and government-related bonds on the other hand trade marginally wider. Issue size, maturity and currency do not have a significant influence on differences in pricing but industry and ESG rating.

PurposeThe fundamental theory of Modigliani and Miller (1958) states that a firm's financing decisions are independent from the firm's value. Nevertheless, several empirical studies as well as theoretical approaches from the past decade impugn this relation for real markets with their immanent inefficiencies. However, these questions are rather than academic in nature: Especially the influence of macroeconomic conditions on the market perception of debt issues is from high economic importance, since the need for new liquidity usually becomes even more urgent when the economic conditions worsen.Design/methodology/approachThis paper analyzes the reaction of shareholders to the issue of debt by Latin American firms under special consideration of the macroeconomic sentiment. To do so, a sample of debt issued by Latin American companies between 2003 and 2010 is empirically examined through an event study.FindingsThe authors empirically demonstrate that specifically in Latin America, debt issuing companies show a significant underperformance during recessionary periods and an overperformance during nonrecessionary periods. These findings differ from previous results for mature capital markets. The authors conclude that not only the overall economic conditions matter to explain stock market reactions on bond issues but also the maturity of the corporate debt market plays an important role.Originality/valueThe authors provide first evidence that the previously described changes in the returns on specific stocks depending on the economic sentiment (Baker and Wurgler, 2006) are under certain conditions also present in the market for corporate debt.

Factor investing has become very popular during the last decades, especially with respect to equity markets. After extending Fama–French factors to corporate bond markets, recent research more often concentrates on the government bond space and reveals that there is indeed clear empirical evidence for the existence of significant government bond factors. Voices that state the opposite refer to outdated data samples. By the documentation of rather homogeneous recent empirical evidence, this review underlines the attractiveness of more sophisticated investment approaches, which are well established in equity and even in corporate bond markets, to the segment of government bonds.

In the era of emerging technologies, many firms explore the role of blockchain technology and its impact on corporate market value. Past research has shown that companies benefit from executing blockchain projects, but little is known about specific value and risk drivers. Hence, we provide evidence for several conditions under which blockchain provides additional firm market value. Moreover, we test whether blockchain announcements lead to changes in the systematic risk of firms. Theoretically founded on the resource-based view, we utilize the event study methodology, supplemented by a multivariate regression and a firm’s beta analysis. We find that stock markets react positively to corporate blockchain news if the announcement is related to a blockchain consortium or partnership, is declared by a tech company, or if the announcement is a follow-up announcement to initial blockchain news. Moreover, our findings show that blockchain announcements do not lead to significant changes in a firm’s systematic risk.

Data breaches continue to plague most industries but especially the healthcare sector. While previous studies have aimed at assessing the financial implications arising from data breaches, none of them focused on the healthcare sector. This study of market reactions following data breaches fills that gap. Federal disclosure requirements of data breaches within the healthcare sector allow for our comprehensive study. Using multivariate regression analysis, our findings show the high specificity with which investors react to the announcement of data breaches.

This study conducts a meta-analysis on the day-of-the-week effect to shed more light on the replication crisis of this stock market anomaly. The findings confirm that Mondays and Tuesdays provide, on average, lower daily returns. In addition, Wednesdays and Fridays indicate higher returns, with an unexpectedly strong middle-of-the-week effect on Wednesdays. The study highlights the influence of study design on these findings and notes a more substantial effect in the 1980s and 1990s. While differences in empirical methods do not impact the anomaly, index choices affect findings on day-dependent returns. The real estate sector especially stands out with a stronger day-of-the-week effect. However, geographic differences are mostly insignificant except for Oceania. Cultural differences demonstrate a weak but significant effect on abnormal daily returns. From a meta-perspective, outliers remain an essential driver for this stock market anomaly, indicating that study design is not the only factor driving the replication crisis.