Arbeitspapier
Underpricing in the euro area corporate bond market: New evidence from post-crisis regulation and quantitative easing
We conduct the most extensive study of underpricing in the euro area 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. We also show that secondary market liquidity in the euro area bond market is significantly lower in the post-crisis period than pre-crisis. These results are consistent with recent US evidence and may represent unintended side effects of new regulation enacted in the wake of the financial crisis, such as Basel III and the Volcker Rule. Furthermore, our evidence suggests that the ECB's asset purchase programs have led to a decrease in underpricing.
- Language
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Englisch
- Bibliographic citation
-
Series: CFR Working Paper ; No. 18-03
- Classification
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Central Banks and Their Policies
- Subject
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Underpricing
Bond Markets
Primary Market
Post-Crisis Regulation
ECB
Unconventional Monetary Policy
Quantitative Easing
Asset Purchase Programs
- Event
-
Geistige Schöpfung
- (who)
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Rischen, Tobias
Theissen, Erik
- Event
-
Veröffentlichung
- (who)
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University of Cologne, Centre for Financial Research (CFR)
- (where)
-
Cologne
- (when)
-
2018
- Handle
- Last update
- 10.03.2025, 11:44 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Rischen, Tobias
- Theissen, Erik
- University of Cologne, Centre for Financial Research (CFR)
Time of origin
- 2018
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