Lemmings in the bond market? An empirical analysis of the term structure of credit spreads

Rokkanen, Nikolas

doi:10.1007/s11408-008-0096-4

Cited by 5 publications

(2 citation statements)

References 46 publications

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“…This alternative explanation seems to be supported by the fact that the coefficient is no longer significant once we control for bank fixed effects. Consistent with Rokkanen (2009) and Grasso et al (2010), Maturity has a negative and significant coefficient. This result, apparently surprising, might be due to the significant concentration (85%) of short-medium term issuances (3-5 years) in our sample.…”

Section: Data and Empirical Methodologysupporting

confidence: 82%

Bail‐in rules and the pricing of Italian bank bonds

Crespi

Giacomini

Mascia

2019

Euro Fin Management

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We analyze whether the introduction of the bail‐in tool in January 2016 affected the pricing of Italian bank bonds. Using a unique dataset of 1,798 fixed‐rate bonds issued during the period 2013–2016, we find an increase of the spread at issuance of bail‐inable bonds compared to non‐bail‐inable bonds. This increase also depends on the intrinsic characteristics of each bank. Large institutions, banks with lower ratings, profitability, capitalization, and higher liquidity faced a higher cost of issuing bail‐inable bonds. Overall, our results seem to support the hypothesis of an improved market discipline for the bank bond primary market.

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Section: Data and Empirical Methodologysupporting

confidence: 82%