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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