Green Bond Issuance and Investors' Attention——Evidence Based on AH Shares
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DOI: 10.23977/ICSSEM2020.051
Corresponding Author
Yuqing Wang
ABSTRACT
Based on the event research method, we found that unlike mature foreign markets, the issuance of green bonds on both the A-share market and the H-share market will cause a significant decline in stock prices, and the negative excess returns in the A-share market will be more intense. Our research does not support investor attention hypothesis of Merton (1987) . In China, an emerging market, this negative mechanism is more because the capital market does not recognize the high issuance and hidden costs of green bonds, and companies may face many constraints in actual investment afterwards. In addition, our research is still significant after adjusting the event window period and company heterogeneity
KEYWORDS
Green Bond, Event Research Method