Dealer intermediation and price behavior in the aftermarket for new bond issues

• 成果类型: Article
• 署名作者: Green, Richard C.; Hollifield, Burton; Schuerhoff, Norman
• 署名单位: Carnegie Mellon University; Swiss Finance Institute (SFI); University of Lausanne
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2006.10.004
• 发表日期: 2007
• 页码: 643-682
• 关键词: Municipal bonds; New issues; price dispersion

摘要

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. (c) 2007 Elsevier B.V. All rights reserved.