Expected issuance fees and market liquidity

被引：5

作者：

Buis, Boyd ^{[1
,2
]}

Pieterse-Bloem, Mary ^{[3
]}

Verschoor, Willem F. C. ^{[2
,4
]}

Zwinkels, Remco C. J. ^{[2
,4
]}

机构：

[1] ABN Amro Bank, Amsterdam, Netherlands

[2] Vrije Univ Amsterdam, Amsterdam, Netherlands

[3] Erasmus Res Inst Management, Erasmus Sch Econ, ABN Amro Bank, Rotterdam, Netherlands

[4] Tinbergen Inst, Amsterdam, Netherlands

来源：

JOURNAL OF FINANCIAL MARKETS | 2020年 / 48卷

关键词：

Sovereign bonds; Market microstructure; Market liquidity; Issuance fee; BOND; STOCK; STABILIZATION; DYNAMICS; SPREADS; RISK; ASK;

D O I：

10.1016/j.finmar.2019.100514

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the interaction between the primary and secondary markets for euro area sovereign bonds. Primary dealers compete to be selected as lead manager in the primary market, and have an incentive to increase liquidity. For our 2008-2012 sample of sovereign bonds from 11 euro area countries, we find that expected issuance fees are positively and economically related to market liquidity. The fee-driven liquidity effect is especially strong for countries with high funding needs, in periods of high re-financing uncertainty, and for low-risk bonds. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：20

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[5] [Anonymous], [No title captured]
[6] [Anonymous], [No title captured]
[7] [Anonymous], [No title captured]
[8] [Anonymous], [No title captured]
[9] [Anonymous], [No title captured]
[10] [Anonymous], [No title captured]

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