Benchmark Status in Fixed‐Income Asset Markets

Peter Dunne, Michael Moore and Richard Portes

Journal of Business Finance & Accounting, 2007, vol. 34, issue 9‐10, 1615-1634

Abstract: 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.

Date: 2007
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Citations: View citations in EconPapers (11)

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https://doi.org/10.1111/j.1468-5957.2007.02039.x

Related works:
Working Paper: Benchmark status in fixed-income asset markets (2007)
Working Paper: Benchmark status in fixed-income asset markets (2007)
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