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| Tekijä: | Iannotta, G. |
| Otsikko: | Market discipline in the banking industry: evidence from spread dispersion |
| Lehti: | European Journal of Finance
2011 : JAN-FEB, VOL. 17: 1-2, P.111-131 |
| Asiasana: | banks markets discipline credit rating |
| Vapaa asiasana: | opaqueness spread dispersion |
| Kieli: | eng |
| Tiivistelmä: | The paper explore a question.Do bond investors price hidden information?To address this question,the author uses a heteroscedastic regression model to empirically examine the factors affecting the spread dispersion unexplained by easy-to-observe issue characteristics(such as credit ratings, size, maturity, etc.) in-depth analysis. Two main results emerge from the empirical analysis. a) The variables that accurately predict the spread of the typical bond lose their explanatory power for worse-rated, subordinated bonds with longer maturity and smaller face value. This result suggests that investors price hidden information. b) The unexplained spread dispersion increases for open-priced offers and decreases with the number of banks involved in the syndicate, indicating that primary market characteristics affect the investors' ability to uncover hidden information. |
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