Capital funding in an environmentally aware market A comparative study of Sustainability Linked Loans and Green Bonds

Abstract

This paper investigates which has the greater impact on stock price, whether positive or negative, between green bond listings and Sustainability-Linked Loan (SLL) announcements. While research on the impact of green bonds on stock prices exists, there is a gap in comparative studies including SLLs. This study addresses this gap by analyzing data from 76 companies, encompassing historical stock price data and respective indices from 2015 to 2022. The data spans multiple markets, primarily European, but also includes some Asian and American markets. The analysis reveals no statistical significance to support that either green bond listings or SLL announcements impact stock prices. However, it was observed that green bond listings had a Cumulative Average Abnormal Return (CAAR) of 0.54% compared to the index, while companies announcing SLLs exhibited a negative CAAR of -0.49%.