Underpricing in the European corporate bond market

Rischen, Tobias ; Theissen, Erik

DOI: https://doi.org/10.2139/ssrn.3063310
URL: https://papers.ssrn.com/sol3/papers.cfm?abstract_i...
Additional URL: https://www.researchgate.net/publication/321089961...
Document Type: Working paper
Year of publication: 2017
The title of a journal, publication series: SSRN Working Paper Series
Place of publication: Rochester, NY
Publication language: English
Institution: Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject: 330 Economics
Abstract: We conduct the most extensive study of underpricing in the Eurozone bond market so far and find strong evidence of underpricing. In cross-sectional regressions we find patterns that are consistent with bookbuilding-based theories of underpricing and inconsistent with liquidity-based explanations. The underpricing has increased considerably during the financial crisis and has remained at an elevated level since. The European Central Bank’s asset purchase programs have led to a decrease in underpricing. We also show that secondary market liquidity in the Eurozone bond markets is significantly lower in the post-crisis period than pre-crisis. The decrease in liquidity is consistent with recent US evidence and may be an unintended side effect of new regulation enacted in the wake of the financial crisis, such as Basel III and the Volcker Rule.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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