Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues

Détails

ID Serval
serval:BIB_159C45B59169
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues
Périodique
Journal of Financial Economics
Auteur(s)
Green R.C., Hollifield B., Schuerhoff N.
ISSN
0304-405X
Statut éditorial
Publié
Date de publication
12/2007
Peer-reviewed
Oui
Volume
86
Numéro
3
Pages
643-682
Langue
anglais
Résumé
Municipal bonds trade in decentralized broker-dealer markets, and are underpriced when issued, but unlike equities the average price rises slowly over several days. Newly issued municipal bonds have high levels of price dispersion and the average price rises because the mix of trade sizes changes over time. While large trades occur close to the reoffering price, small trades occur between the reoffering price to as much as 5% above the reoffering price. Using a mixed-distribution model we quantify the losses uninformed traders or issuers give up to broker-dealers.
Mots-clé
Municipal bonds, New issues, Price dispersion
Web of science
Création de la notice
19/11/2007 10:36
Dernière modification de la notice
20/08/2019 13:44
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