新债发行如何影响担保债券的流动性

Journal of Fixed Income Pub Date : 2019-08-21 DOI:10.3905/jfi.2019.1.072

Michael Weigerding

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引用次数: 3

摘要

本研究显示一级市场供给如何影响未偿债券的二级市场流动性。同一发行人在同一期限内发行新债券时，流动性较高。一旦新股定价，它就会上升，并在几天内保持在高位。这种影响主要归因于新旧债券之间的转换交易。它随着发行量的增加而增加，随着未发行的类似票据的数量而减少。流动性激增与新债券的吸引力呈正相关;在市场情绪积极的时候，它会更强劲。主题:项目融资，统计方法，信用风险管理主要发现•在同一发行人和同一期限段发行新债券时，流动性更高。•供给流动性效应随着发行量的增加而增加，随着未偿还的类似票据数量的减少而减少。•流动性激增与新债券的吸引力呈正相关，在市场情绪积极的时候，流动性会更强。

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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How New Bond Issuance Influences the Liquidity of Covered Bonds

This study shows how primary market supply influences the secondary market liquidity of outstanding bonds. Liquidity is higher around new bond issuance by the same issuer and in the same maturity segment. It rises once the new issue is priced and remains elevated for several days. The effect is mostly attributed to switch trades between old and new bonds. It increases by the volume issued and decreases by the amount of similar paper outstanding. The liquidity surge is positively linked to the new bond’s attractiveness; it is stronger during times of positive market sentiment. TOPICS: Project finance, statistical methods, credit risk management Key Findings • Liquidity is higher around new bond issuance by the same issuer and in the same maturity segment. • The supply-liquidity effect increases by the volume issued and decreases by the amount of similar paper outstanding. • The liquidity surge is positively linked to the new bond's attractiveness, and it is stronger during times of positive market sentiment.

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来源期刊

Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.10

自引率

0.00%

发文量

期刊介绍： The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.