Corporate bond price reversals

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-03-01 DOI:10.1016/j.finmar.2023.100880

Alexey Ivashchenko

引用次数: 0

Abstract

I demonstrate empirically that corporate bond dealers mitigate adverse selection risk by passing potentially informed transactions to institutional investors. I contrast price reversals following days with abnormal trading volume across bonds with different information asymmetry. In informed trading, the part of reversal specific to high-volume days should increase with information asymmetry. In uninformed trading, there is no such effect. Following high-volume days when investors provide liquidity, the reversals are consistent with the former case. When dealers provide liquidity, I observe the latter. The results suggest that the informational content of bond prices is higher when dealers do not take inventory.

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公司债券价格反转

我通过实证证明，公司债券交易商通过将潜在的知情交易转给机构投资者来减轻逆向选择风险。我对比了不同信息不对称债券在交易量异常日之后的价格反转。在知情交易中，高交易量日特有的反转部分应随着信息不对称程度的增加而增加。而在非知情交易中，则没有这种影响。在投资者提供流动性的高交易量日之后，反转与前一种情况一致。当交易商提供流动性时，我观察到的是后者。结果表明，当交易商不进行盘点时，债券价格的信息含量更高。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.