2025/04/04 by Darren Shannon, Shannon, Darren, Jin Gong +3 · 1 voice · 1 citation
Economics, Econometrics and Finance · #FOS: Economics and business #Financial Markets and Investment Strategies #General Finance (q-fin.GN) #Market Dynamics and Volatility #Pricing of Securities (q-fin.PR) #Sustainable Finance and Green Bonds #Trading and Market Microstructure (q-fin.TR) #q-fin.GN #q-fin.PR #q-fin.TR
paper · pdf · doi:10.48550/arxiv.2504.03311
openalex publication_date 2025/04/04 · arxiv published 2025/04/04 · arxiv updated 2025/04/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Public announcement dates are used in the green bond literature to measure equity market reactions to upcoming green bond issues. We find a sizeable number of green bond announcements were pre-dated by anonymous information leakages on the Bloomberg Terminal. From a candidate set of 2,036 'Bloomberg News' and 'Bloomberg First Word' headlines gathered between 2016 and 2022, we identify 259 instances of green bond-related information being released before being publicly announced by the issuing firm. These pre-announcement leaks significantly alter the equity trading dynamics of the issuing firms over intraday and daily event windows. Significant negative abnormal returns and increased trading volumes are observed following news leaks about upcoming green bond issues. These negative investor reactions are concentrated amongst financial firms, and leaks that arrive pre-market or early in market trading. We find equity price movements following news leaks can be explained to a greater degree than following public announcements. Sectoral differences are also observed in the key drivers behind investor reactions to green bond leaks by non-financials (Tobin's Q and free cash flow) and financials (ROA). Our results suggest that information leakages have a strong impact on market behaviour, and should be accounted for in green bond literature. Our findings also have broader ramifications for financial literature going forward. Privileged access to financially material information, courtesy of the ubiquitous use of Bloomberg Terminals by professional investors, highlights the need for event studies to consider wider sets of communication channels to confirm the date at which information first becomes available.