绿色融资的市场定价与业绩影响

【作者】 刘扬；

【导师】 金宇超；

【作者基本信息】 上海财经大学 ， 会计硕士（专业学位）， 2023， 硕士

【摘要】 绿色金融市场是绿色经济发展的重要组成部分,因此推动绿色债券的发展与完善对于双碳目标的实现起到重要作用,因绿色债券符合可持续发展的趋势,能够给予公司的正面经营形象,增加企业的社会效应,具有显著的正外部性,不仅可以缓解融资贵、难等问题,还能吸引绿色偏好的投资者。同时绿色金融体系中的绿色债券的蓬勃发展也将会对双碳目标的实现产生重要影响。目前绿色债券的研究更多的集中于绿色债券自身的特点,重点研究绿色债券“绿色”属性,很少有绿色债券在资本市场中发挥的作用,尤其是对股票市场的影响。考虑现有的ESG报告信息披露质量层次不一,绿色债券其“绿色属性”是否能真正为股票市场带来影响未知。2019年9月5日,蔚来发行了新一轮2亿美元可转换债券,这次债券的发行缓解了蔚来的资金压力;2021年9月,蔚来的新能源融资租赁绿色资产支持专项计划成功发行,募集资金全部投入电池租赁,共筹集了10.3亿元人民币。本文旨在通过分析同一公司“绿色”债券与普通可转换债两类债券在窗口发生期股价变动的情况,探讨绿色债券的发行对股票市场的影响,投资者是否对绿色债券的发行具有偏好性,以及债券市场是否对“绿色”概念具有定价。为研究绿色债券的发行对股价效应的影响,本文通过收集2018年8月至2022年6月日股票市场数据,选取2018年9月12日至2023年2月08日NIO股价为研究对象,计算个股回报率及市场汇报率,以此来衡量发行前后的股票市场表现。本文将事件日(t=0)设置为发行公告日的当天,选取了两个事件日:2019年9月5日与2021年10月29日,并将债券公告日前后10天作为事件窗口进行统计。对两种债券发行的市场效应研究分析,研究发现:(1)可转换债券的累计异常收益率在(-12.88%,10.05%)区间波动,绿色债券的累计异常收益率在(3.20%,14.60%)区间波动,绿色资产支持债券引起的股价产生了更为显著的正向效用,更能得到市场的认可;(2)“绿色”融资能够有效拓宽融资渠道,优化债务结构;(3)绿色债券的发行能有效提升企业的环境业绩,市场投资者的关注使得企业将募集资金全部投入到绿色项目,带来更多的绿色环境效益。近年来,随着我国持续推动经济绿色转型,绿色债券作为绿色发展的融资工具,为新能源汽车企业提供了一种全新的融资思路。蔚来绿色债券的发行对我国其他新能源汽车企业来说提供了新的融资思路。文章首先明确绿色债券的基本概念与理论基础,并从总体上对我国绿色债券市场发展现状和新能源汽车行业绿色债券发行情况进行整体梳理。其次,对蔚来汽车发行的两类债券进行介绍,对两种债券进行具体分析研究,运用相关数据,分析绿色债券发行优势。最后总结蔚来发行绿色债券对环境以及股价是否产生良性影响。总体来看,蔚来进行绿色资产支持债券融资时具有可取之处,但也存在缺乏绿色债券第三方认证等问题。结合上述分析,针对绿色债券发行提出合理的政策建议。更多还原

【Abstract】 Green finance market is an important part of the development of green economy,so promoting the development and improvement of green bonds plays an important role in the realization of the dual-carbon goal.Green bonds conform to the trend of sustainable development,can give a positive business image to the company,increase the social effect of the enterprise,and have significant positive externality,which can not only alleviate the problems of expensive and difficult financing,etc.It also appeals to investors with a green taste.At the same time,the vigorous development of green bonds in the green finance system will also have an important impact on the realization of the double carbon goal.At present,the research on green bonds focuses more on the characteristics of green bonds and focuses on the "green" attribute of green bonds.There are few green bonds’ role in the capital market,especially its impact on the stock market.Considering the different levels of information disclosure in existing ESG reports,it is unknown whether the "green attribute" of green bonds can really influence the stock market.On September 5,2019,Nio submitted documents to the United States Securities and Exchange Commission and announced the issuance of a new round of $200 million convertible bonds,which eased the financial pressure of Nio.In September 2021,the Green Asset Support Special plan New Energy Financial Leasing was successfully issued in Shanghai Stock Exchange,and all the funds raised were invested in battery leasing,with a total of 1.03 billion yuan raised.This paper aims to discuss the impact of green bond issuance on the stock market,whether investors have a preference for green bond issuance,and whether the bond market has a pricing on the concept of "green" by analyzing the stock price changes of two types of bonds,"green" bond and ordinary convertible bond,in the same company during the window period.In order to study the effect of green bond issuance on stock price,this paper collected stock market data from August 2018 to June 2022,selected NIO stock price from September 12,2018 to February 08,2023 as the research object,calculated individual stock return rate and market reporting rate,and measured the stock market performance before and after the issuance.In this paper,the event date(t=0)is set as the day of the announcement date,and two event dates are selected: September 5,2019 and October 29,2021,and 10 days after the date of bond announcement are taken as the event window for statistics.Research and analysis of the market effect of two kinds of bond issuance,the research finds:(1)The cumulative abnormal yield of convertible bonds fluctuates in the range of(-12.88%,10.05%),and the cumulative abnormal yield of green bonds fluctuates in the range of(3.20%,14.60%).The stock price caused by green asset-backed bonds has a more significant positive effect and is more recognized by the market.(2)"Green" financing can effectively expand financing channels and optimize debt structure;(3)The issuance of green bonds can effectively improve the environmental performance of enterprises.The attention of market investors makes enterprises invest all the raised funds into green projects,bringing more green environmental benefits.In recent years,along with our country continues to promote the green transformation of economy,green bonds,as a financing tool of green development,provide a new financing way for new energy automobile enterprises.The issuance of Nio green bond provides a new financing idea for other new energy vehicle enterprises in China.This paper firstly clarifies the basic concept and theoretical basis of the green bond and generally summarizes the development status of the green bond market in our country and the green bond issuance in the new energy auto industry.Secondly,two types of bonds issued by NIO are introduced,the two types of bonds are analyzed and studied in detail,and the advantages of issuing green bonds are analyzed by using relevant data.Finally,it concludes whether green bond issue has a positive impact on the environment and stock price.In general,green assets can support bond financing,but there are also problems such as lack of green bond third-party certification.Based on the above analysis,reasonable policy suggestions are put forward for green bond issuance.更多还原