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Purpose: This paper investigates the static and dynamic directional return spillovers and dependence among green investments, carbon markets, financial markets and commodity markets from January 2013 to September 2020. Design/methodology/approach: This study employed both the quantile vector autoregression (QVAR) and time-varying parameter VAR (TVP-VAR) technique to examine the magnitude of static and dynamic directional spillovers and dependence of markets. Findings: Results show that the magnitude of connectedness is extremely higher at quantile levels (q = 0.05 and q = 0.95) compared to those in the mean of the conditional distribution. This connotes that connectedness between green bonds and other assets increases with shock size for both negative and positive shocks. This further indicates that return shocks spread at a higher magnitude during extreme market conditions relative to normal periods. Additional analyses show the behavior of return transmission between green bond and other assets is asymmetric. Practical implications: The findings of this study offer significant implications for portfolio investors, policymakers, regulatory authorities and investment community in terms of carefully assessing the unique characteristics offered by each markets in terms of return spillovers and dependence and diversifying the portfolios. Originality/value: The study, first, uses a relatively new statistical technique, the QVAR advanced by Ando et al. (2018), to capture upper and lower tails' quantile price connectedness and directional spillover. Therefore, the results possess adequate power against departure from mean-based conditional connectedness. Second, using a portfolio of green investments, carbon markets, financial markets and commodity markets, the uniqueness of this study lies in the examination of the static and dynamic dependence of the markets examined. [ABSTRACT FROM AUTHOR]

This study investigates the predictors of financial distress of banks in Sub-Saharan Africa. Specifically, we examine the relationship between bank financial distress and the 5Cs (i.e., Character, Capacity, Capital, Condition, and Collateral). We use logistic regression and panel data from 228 listed and non-listed Sub-Sahara Africa Banks over the period 2006 to 2016 to test the hypotheses. We find that the rating measures of capacity (cost to income), capital (leverage), and condition (loan loss reserves to gross loan and inflation) positively affect the financial distress of the banks in Sub-Saharan Africa. Control of corruption decreases the probability of financial distress; however, the collateral and character indicators do not predict the financial distress of the banks. This study adds to the debate on how Character, Capacity, Capital, Condition, and Collateral affect bank financial distress in Sub-Saharan Africa, a region with high bank insolvency but research remains scant. [ABSTRACT FROM AUTHOR]

Purpose: The study aims to examine whether corporate social responsibility (CSR) disclosure does improve debt financing of listed firms with sustainable development agendas coupled with high chief executive officer (CEO) tenure in India. Design/methodology/approach: Employing panel regression based on fixed effect and instrumental variable regression with fixed effect assumptions, the study examined data from the Bombay stock exchange from the period 2010 to 2019. Findings: The study demonstrates that the disclosure of current exchange capital and moral capital cannot cause a firm to access short-term and long-term debt financing. However, lag investment in moral capital causes a positive effect on short-term debt financing. The second findings show that CEO tenure has a positive and statistically significant association with short-term debt financing and an insignificant association with long-term debt financing. The third findings show that the interaction of current CSR disclosure (moral and exchange capital) and CEO tenure is insignificant in affecting short-term and long-term debt finance. However, the interaction of lag CSR disclosure (moral and exchange capital) and CEO tenure positively affect short-term debt financing. The study addresses any endogeneity concerns arising from the CSR disclosure-debt financing association. Research limitations/implications: This study uses a single country to examine the inter-relationship between CEO tenure and debt financing and CSR measured by moral capital and exchange capital, thereby limiting the study's results for generalisation. Practical implications: The observation is that moral capital investment and disclosure do not guarantee new entrants the chance to access debt financing, but subsequent and lag CSR disclosure ensures access. Originality/value: No studies examine morality from CSR disclosure on debt financing. This study shows that decoupling CSR into exchange capital and moral capital in accessing debt financing presents new inputs for scholarly debate on CSR. [ABSTRACT FROM AUTHOR]

This paper examines the coherence of extreme returns between green bonds and a unique set of green stocks. We use the novel quantile cross-spectral coherence methodology of quantile spectral coherency model, cross-quantilogram correlation approach, windowed time-lagged cross-correlation, and windowed scalogram difference models as estimation techniques. The study period spans from 28 November 2008 to 23 September 2020. Our measure of green stocks comprises the constituents of the MSCI Global Environment Price Index: Alternative Energy, Green Building, Pollution Prevention or Clean Technology while our green bond market is proxied by S&P Green Bond Index. We find the dependency between Green Bonds and green stocks to be weak, and this is high during market downturn periods in the short- to medium-term dynamics. This suggests that Green Bonds do act as a hedge, diversifier, or safe-haven instrument for environment portfolio in the short-term, medium-term and long-term dynamics during bearish market conditions. We conclude that green bonds and green stocks are two distinct asset classes with a distinct risk-return profile despite their common climate-friendly nature. [ABSTRACT FROM AUTHOR]