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

被引：82

作者：

Green, Richard C. ^{[1
]}

Hollifield, Burton ^{[1
]}

Schuerhoff, Norman ^{[2
,3
]}

机构：

[1] Carnegie Mellon Univ, Tepper Sch Business, Pittsburgh, PA 15213 USA

[2] Swiss Finance Inst, CH-1015 Lausanne, Switzerland

[3] Univ Lausanne, CH-1015 Lausanne, Switzerland

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2007年 / 86卷 / 03期

关键词：

municipal bonds; new issues; price dispersion;

D O I：

10.1016/j.jfineco.2006.10.004

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

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.

引用

页码：643 / 682

页数：40

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