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Journal articles
Benchmark status in fixed-income asset markets
Abstract : What is a benchmark bond? We provide a formal theoretical treatment of this concept that relates endogenously determined benchmark status to price discovery, and we derive its implications. We describe an econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this to the US corporate bond market and to the natural experiment that occurred when benchmark status was contested in the European sovereign bond markets. We show that France provides the benchmark at most maturities in the Euro-denominated sovereign bond market and that IBM provides the benchmark in the US corporate bond market.
https://hal-pjse.archives-ouvertes.fr/halshs-00754214
Contributor : Caroline Bauer Connect in order to contact the contributor
Submitted on : Tuesday, November 20, 2012 - 8:48:55 AM
Last modification on : Wednesday, November 17, 2021 - 12:32:55 PM
Contributor : Caroline Bauer Connect in order to contact the contributor
Submitted on : Tuesday, November 20, 2012 - 8:48:55 AM
Last modification on : Wednesday, November 17, 2021 - 12:32:55 PM
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