The Covid pandemic in the market: infected, immune and cured bonds
- By focusing on the cost conditions at issuance, I find that not only the Covid-19 pandemic effects were different across bonds and firms at different stages, but also that the market composition was significantly affected, collapsing on investment- grade bonds, a segment in which the share of bonds eligible to the ECB corporate programmes strikingly increased from 15% to 40%. At the same time the high-yield segment shrunk to almost disappear at 4%. In addition to a market segmentation along the bond grade and the eligibility to the ECB programmes, another source of risk detected in the pricing mechanism is the weak resilience to pandemic: the premium requested is around 30 basis points and started to be priced only after the early containment actions taken by the national authorities. On the contrary, I do not find evidence supporting an increased risk for corporations headquartered in countries with a reduced fiscal space, nor the existence of a premium in favour of green bonds, which should be the backbone of a possible “green recovery”.
Verfasserangaben: | Andrea ZaghiniORCiDGND |
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URN: | urn:nbn:de:hebis:30:3-575781 |
URL: | https://ssrn.com/abstract=3785624 |
Titel des übergeordneten Werkes (Englisch): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 653 |
Schriftenreihe (Bandnummer): | CFS working paper series (653) |
Verlag: | Center for Financial Studies |
Verlagsort: | Frankfurt, M. |
Dokumentart: | Arbeitspapier |
Sprache: | Englisch |
Jahr der Fertigstellung: | 2021 |
Jahr der Erstveröffentlichung: | 2021 |
Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Datum der Freischaltung: | 16.02.2021 |
Freies Schlagwort / Tag: | Corporate quantitative easing; Covid pandemic; ECB; Green bonds |
Seitenzahl: | 45 |
HeBIS-PPN: | 476582911 |
Institute: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Lizenz (Deutsch): | Deutsches Urheberrecht |