Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This paper examines how climate concerns and climate-related events influence investor preferences for sustainable assets by analyzing the dynamics of greenium, defined as the yield discount on labeled green bonds under strict matching conditions. Using daily data from 2017 to 2023 for USD and Euro denominated bonds, and controlling for liquidity, yield curve slope, and volatility, we find that the greenium is modest on average. However, it responds significantly to shifts in climate-related attention and climate events. The latter effect is found only in European markets. Decomposing climate concerns variations into positive and negative components reveals a reversible response, raising concerns about the stability of green preferences as a long-term funding channel.