Expected issuance fees and market liquidity

Boyd Buis, Mary Pieterse-Bloem, Willem Verschoor and Remco Zwinkels ()

Journal of Financial Markets, 2020, vol. 48, issue C

Abstract: We examine the interaction between the primary and secondary markets for euro area sovereign bonds. Primary dealers compete to be selected as lead manager in the primary market, and have an incentive to increase liquidity. For our 2008–2012 sample of sovereign bonds from 11 euro area countries, we find that expected issuance fees are positively and economically related to market liquidity. The fee-driven liquidity effect is especially strong for countries with high funding needs, in periods of high re-financing uncertainty, and for low-risk bonds.

Keywords: Sovereign bonds; Market microstructure; Market liquidity; Issuance fee (search for similar items in EconPapers)
JEL-codes: G12 G18 G24 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:48:y:2020:i:c:s1386418119300795

DOI: 10.1016/j.finmar.2019.100514

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