Abstract
We analyze green and conventional bonds during regular market periods and within times of extreme volatility, the COVID-19 pandemic. We find a negative premium (greenium) of 1.6bp before the outbreak of COVID-19, but during the times of extreme market stress, this greenium widens to 3.5bp as our results show a significant outperformance of green bonds. The results indicate that green bonds are more resilient during risk-off periods than non-green bonds. In addition, the greenium effect is moderated by the issuer's country environmental performance as the greenium was more pronounced for issuers from non-green countries prior to COVID-19. We do not find differences between green and non-green countries since COVID-19.