Dunne, Peter G.; Moore, Michael J.; Portes, Richard - In: Journal of Business Finance & Accounting 34 (2007-11) 9-10, pp. 1615-1634
What is a benchmark bond? We provide a formal theoretical treatment of this concept that relates endogenously determined benchmark status to price discovery, and we derive its implications. We describe an econometric technique for identifying the benchmark that is congruent with our theoretical...