TY  - UNPD
A1  - Zaghini, Andrea
T1  - The Covid pandemic in the market: infected, immune and cured bonds
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 653
N2  - 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”.
T3  - CFS working paper series - 653 
KW  - ECB
KW  - Corporate quantitative easing
KW  - Covid pandemic
KW  - Green bonds
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/57578
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-575781
UR  - https://ssrn.com/abstract=3785624
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -