Dittmar, Robert F. and Yuan, Kathy 
ORCID: 0000-0001-9895-7545
(2008)
Do sovereign bonds benefit corporate bonds in emerging markets?
Review of Financial Studies, 21 (5).
pp. 1983-2014.
ISSN 0893-9454
Abstract
We analyze the impact of emerging-market sovereign bonds on emerging-market corporate bonds by examining their spanning enhancement, price discovery, and issuance effects. We find that the effect of spanning enhancement is positive and large; over one-fifth of the information in corporate yield spreads is traced to innovations in sovereign bonds; and most of these effects are due to discovery and spanning of systematic risks. Further, issuance of sovereign bonds, controlling for endogeneity of market-timing decisions, lowers corporate yield and bid-ask spreads. Our results indicate that sovereign securities act as benchmarks and suggest they promote a vibrant corporate bond market.
| Item Type: | Article |
|---|---|
| Official URL: | http://rfs.oxfordjournals.org/content/current |
| Additional Information: | © 2008 Oxford University Press |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
| JEL classification: | G - Financial Economics > G1 - General Financial Markets > G10 - General G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies |
| Date Deposited: | 10 Nov 2011 11:38 |
| Last Modified: | 01 Oct 2024 03:35 |
| URI: | http://eprints.lse.ac.uk/id/eprint/39408 |
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