Universität zu Köln

Rischen, Tobias and Theissen, Erik (2021). Underpricing in the euro area bond market: New evidence from post-crisis regulation and quantitative easing*. J. Financ. Intermed., 46. SAN DIEGO: ACADEMIC PRESS INC ELSEVIER SCIENCE. ISSN 1096-0473

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Abstract

We conduct an extensive study of underpricing in the euro area bond market 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 explanations. The underpricing has increased considerably during the financial crisis and has remained at an elevated level since. We also show that secondary market liquidity in the euro area bond market is significantly lower in the post-crisis period than pre-crisis. These results are consistent with recent US evidence and may represent unintended side effects of new regulation enacted in the wake of the financial crisis, such as Basel III and the Volcker Rule. Furthermore, our evidence suggests that the ECB's corporate sector purchase programs has led to a decrease in underpricing.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Rischen, Tobias UNSPECIFIED UNSPECIFIED UNSPECIFIED Theissen, Erik UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-570348
DOI:	10.1016/j.jfi.2020.100871
Journal or Publication Title:	J. Financ. Intermed.
Volume:	46
Date:	2021
Publisher:	ACADEMIC PRESS INC ELSEVIER SCIENCE
Place of Publication:	SAN DIEGO
ISSN:	1096-0473
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language SEASONING PROCESS; REPUTATION; ISSUES; INFORMATION; OFFERINGS; LIQUIDITY Multiple languages Business, Finance Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/57034