Expected issuance fees and market liquidity

Boyd Buis; M. Pieterse-Bloem; W.F.C. Verschoor; Remco Zwinkels

doi:10.1016/j.finmar.2019.100514

Expected issuance fees and market liquidity

Boyd Buis, M. Pieterse-Bloem, W.F.C. Verschoor, Remco Zwinkels

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Abstract

We examine the interaction between the primary and secondary markets for euro area sovereign bonds. Primary dealers compete to be selected as lead manager in the primary market, and have an incentive to increase liquidity. For our 2008–2012 sample of sovereign bonds from 11 euro area countries, we find that expected issuance fees are positively and economically related to market liquidity. The fee-driven liquidity effect is especially strong for countries with high funding needs, in periods of high re-financing uncertainty, and for low-risk bonds.

Original language	English
Article number	100514
Pages (from-to)	1-20
Number of pages	20
Journal	Journal of Financial Markets
Volume	48
Early online date	16 Oct 2019
DOIs	https://doi.org/10.1016/j.finmar.2019.100514
Publication status	Published - Mar 2020

Keywords

Issuance fee
Market liquidity
Market microstructure
Sovereign bonds

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

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10.1016/j.finmar.2019.100514

Expected issuance fees and market liquidityFinal published version, 1.18 MBLicence: Article 25fa Dutch Copyright Act

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KW - Market microstructure

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Expected issuance fees and market liquidity

Abstract

Keywords

UN SDGs

Access to Document

Persistent URL (handle)

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MTS best proposals dataset

Cite this

Expected issuance fees and market liquidity

Abstract

Keywords

UN SDGs

Access to Document

Persistent URL (handle)

Other files and links

Datasets

MTS best proposals dataset

Cite this