期刊
JOURNAL OF FINANCIAL ECONOMICS
卷 86, 期 3, 页码 643-682出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2006.10.004
关键词
municipal bonds; new issues; price dispersion
Municipal bonds trade in decentralized broker-dealer markets, and are underpriced when issued, but unlike equities the average price rises slowly over several days. Newly issued municipal bonds have high levels of price dispersion and the average price rises because the mix of trade sizes changes over time. While large trades occur close to the reoffering price, small trades occur between the reoffering price to as much as 5% above the reoffering price. Using a mixed-distribution model we quantify the losses uninformed traders or issuers give up to broker-dealers. (c) 2007 Elsevier B.V. All rights reserved.
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