Institutional allocations in the primary market for corporate bonds

• 成果类型: Article
• 署名作者: Nikolova, Stanislava; Wang, Liying; Wu, Juan (Julie)
• 署名单位: University of Nebraska System; University of Nebraska Lincoln
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.02.007
• 发表日期: 2020
• 页码: 470-490
• 关键词: Corporate bonds; Primary market allocations; Underpricing; Bookbuilding; Trading relationship

摘要

Using 2002-2014 insurer transactions, we provide the first empirical evidence on underwriters' allocation practices in the primary market for corporate bonds. Since bonds are often underpriced, allocations generate for investors an estimated $41 billion of first-day profits. These profits increase with proxies for investors' information production during the bookbuilding process and, more strongly, with investors' prior trading with underwriters. Information production has a larger impact when asymmetric information is higher, while prior trading has a larger impact when the issuer-underwriter agency problem is more severe. When there is more competition for allocations, prior trading further increases an insurer's first-day profits. (C) 2020 Elsevier B.V. All rights reserved.