Underpricing in the euro area bond market: New evidence from post-crisis regulation and quantitative easing

Rischen, Tobias; Theissen, Erik

doi:10.1016/j.jfi.2020.100871

Cited by 16 publications

(3 citation statements)

References 38 publications

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“…Over the whole period, eligible bonds bene…tted from a signi…cant negative premium of 22 basis points (column 1). This result is in line with the literature on the ECB corporate asset purchases (Todorov 2020, Li et al 2021, Rischen and Theissen 2021. Given that eligible bonds are all rated IG, can be always used as collateral for the ECB main re…nancing operations and rely on a stronger demand, they usually face a lower placement cost than similar non-eligible bonds.…”

Section: Figure 1 -Trend Assumption (Eligible Vs Non-eligible)supporting

confidence: 85%

Unconventional Green

Zaghini

2023

SSRN Journal

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Section: Figure 1 -Trend Assumption (Eligible Vs Non-eligible)supporting

confidence: 85%

Unconventional Green

Zaghini

2023

SSRN Journal

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“…Betz and De Santis (2019), Ertan, Kleymenova, and Tuijn (2018), and Arce, Gimeno, and Mayordomo (2017) similarly find evidence of a bank credit reallocation effect of the CSPP towards firms that cannot issue CSPP-eligible debt. Rischen and Theissen (2019) further find that the CSPP has tended to reduce the initial underpricing of newly issued bonds in the euro area bond market. Our paper adds to the literature on the CSPP by examining how a similar program, i.e.…”

Section: Introductionmentioning

confidence: 83%

Which Firms Benefit from Corporate QE during the COVID-19 Crisis? the Case of the ECB’s Pandemic Emergency Purchase Program

Demirgüç-Kunt¹,

Horváth

Huizinga

2020

SSRN Journal

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The Policy Research Working Paper Series disseminates the findings of work in progress to encourage the exchange of ideas about development issues. An objective of the series is to get the findings out quickly, even if the presentations are less than fully polished. The papers carry the names of the authors and should be cited accordingly. The findings, interpretations, and conclusions expressed in this paper are entirely those of the authors. They do not necessarily represent the views of the International Bank for Reconstruction and Development/World Bank and its affiliated organizations, or those of the Executive Directors of the World Bank or the governments they represent.

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Section: Introductionmentioning

confidence: 83%

Which Firms Benefit from Corporate QE during the COVID-19 Crisis ? The Case of the ECB's Pandemic Emergency Purchase Program

Demirgüç-Kunt¹,

Horváth

Huizinga³

2020

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Using an event study methodology, this paper examines how European firms have been affected by the announcement of the Pandemic Emergency Purchase Program (PEPP) of the ECB. Firms with an investment-grade rating benefit relatively more as evidenced by higher share prices and lower CDS spreads, which reflects that the ECB is restricted to purchasing investment-grade corporate debt securities. The gains to shareholders relative to the total gains of shareholders and debtholders are negatively related to firm leverage, consistent with the existence of debt overhang. Firms more heavily impacted by the pandemic benefit relatively little from the PEPP, which could reflect that the business models of some of these firms are heavily damaged by the pandemic. Monetary policy in the form of the PEPP and national fiscal responses to the pandemic are shown to be complements in the sense that a strong pre-PEPP fiscal response enhances the potential for the PEPP to positively affect equity and debt valuations.

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Underpricing in the euro area bond market: New evidence from post-crisis regulation and quantitative easing

Cited by 16 publications

References 38 publications

Unconventional Green

Unconventional Green

Which Firms Benefit from Corporate QE during the COVID-19 Crisis? the Case of the ECB’s Pandemic Emergency Purchase Program

Which Firms Benefit from Corporate QE during the COVID-19 Crisis ? The Case of the ECB's Pandemic Emergency Purchase Program

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