With increasing concern over climate change, many see green finance as a solution to fund sustainable projects. In particular, green bonds—a type of debt instrument which aims to finance sustainable infrastructure projects—are growing in popularity. While the literature does not contest their effectiveness in fighting climate change, research highlights the high level of risks and low returns associated with this instrument. This research investigates green bonds’ characteristics, depending on the issuing region, with a special focus on Asia and the Pacific. Our findings prove that green bonds in Asia tend to show higher returns but higher risks and higher heterogeneity. Generally, the Asian green bonds market is dominated by the banking sector, representing 60% of all issuance. Given that bonds issued by this sector tend to show lower returns than average, we recommend policies that could increase the rate of return of bonds issued by the banking sector through the use of tax spillover. Diversification of issuers, with higher participation from the public sector or de-risking policies, could also be considered.