In this analysis, we collect weekly corporate bond prices together with credit rating, maturity and other determinants of the bond prices. We also collect certain information as country of issuance, sector or currency. The data is collected for both green bonds and also bonds not designated as green bonds. Along this study, comparations of the characterics of both types of bonds are continusely done.
The data set I provided at Github is only a sample of the real data set. The complete data set is 273MB with 718,626rows X 125columns, exceeding Github's storage limit.
We retrieve data for the bonds from Thomson Reuters Eikon, performing an analysis of an entire sample comprising 236 green bonds and 60.409 conventional bonds. We do not use TRACE to retrieve data because not all green bonds are listed in it. (Zebrib, 2017).
We download information uniquely for bonds issued between November 2012 and December 2016. The informtion collected is the following: size at issuance in US dollars, country of issuer, currency, sector, subsector, seniority, coupon, maturity date and issuance date.