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Underpricing in the euro area bond market : New evidence from post-crisis regulation and quantitative easing
Rischen, Tobias; Theissen, Erik - In: Journal of financial intermediation 46 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012818035
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Underpricing in the Euro Area Bond Market : New Evidence from Post-Crisis Regulation and Quantitative Easing
Rischen, Tobias - 2020
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...
Persistent link: https://www.econbiz.de/10012853535
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Did the absence of a central bank backstop in the sovereign bond markets exacerbate spillovers during the euro-area crisis?
Gibson, Heather D.; Hall, Stephen G.; Gefang, Deborah; … - 2020
Persistent link: https://www.econbiz.de/10012264947
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Tail risk in the European sovereign bond market during the financial crises : detecting the influence of the European Central Bank
Fendel, Ralf; Neumann, Christian - In: Global finance journal 50 (2021), pp. 1-23
Persistent link: https://www.econbiz.de/10013365895
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Sovereign credit risk, liquidity, and ECB intervention : deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - 2015 - First draft: September 2013, This draft: March 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a detailed, quote-level dataset of the largest interdealer...
Persistent link: https://www.econbiz.de/10010503289
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The rise of bond financing in Europe
Darmouni, Olivier; Papoutsi, Melina - 2022
The rise of bond financing in EuropeUsing large panel data of public and private firms, this paper dissects the growth of bond financing in the Euro Area through the lens of the cross-section of issuers. In recent years, the composition of bond issuers has shifted, with the entry of many smaller...
Persistent link: https://www.econbiz.de/10013198743
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Asymmetric semi-volatility spillover effects in EMU stock markets
Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230
Persistent link: https://www.econbiz.de/10012006352
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The impact of the crisis and unconventional monetary policy on European inflation dynamics : evidence from a three-period structural model and six countries
Schäfer, Benjamin - In: Review of economics 69 (2018) 2, pp. 87-110
Persistent link: https://www.econbiz.de/10012010186
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Cointegration of EMU government bonds in times of financial crises, COVID-19, and high inflation : the importance of sovereign debt for the European insurance industry
Meier, Samira; Gonzalez, Miguel Rodriguez - In: Zeitschrift für die gesamte Versicherungswissenschaft 112 (2023) 2, pp. 181-212
finanziellen und wirtschaftlichen Ereignisse seit der globalen Finanzkrise. Darüber hinaus untersuchen wir die langfristige … Beziehung der EWU-Anleiherenditen in der jüngsten Periode hoher Inflation. Wir analysieren die täglichen 10-jährigen … most recent period of high inflation. We analyze daily 10y sovereign bond yields for both, sample and sub-samples, by …
Persistent link: https://www.econbiz.de/10014487117
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Sovereign debt : understanding bond markets during the eurozone crisis
Bowdler, Christopher (contributor) - 2013
Persistent link: https://www.econbiz.de/10010344647