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https://doi.org/10.21256/zhaw-29688| Publication type: | Article in scientific journal |
| Type of review: | Open peer review |
| Title: | Investor demand in syndicated EFSF/ESM bond issuances |
| Authors: | Hillebrand, Martin Mravlak, Marko Schwendner, Peter |
| et. al: | No |
| DOI: | 10.12688/openreseurope.15961.1 10.21256/zhaw-29688 |
| Published in: | Open Research Europe |
| Volume(Issue): | 3 |
| Issue: | 96 |
| Issue Date: | 14-Jun-2023 |
| Publisher / Ed. Institution: | F1000 |
| ISSN: | 2732-5121 |
| Language: | English |
| Subjects: | Fixed income; European sovereign debt crisis; Primary bond market; Orderbook |
| Subject (DDC): | 332.6: Investment |
| Abstract: | European Financial Stability Facility (EFSF) and European Stability Mechanism (ESM) were set up at the peak of the European sovereign debt crisis to issue bonds and lend to countries under current funding stress. This study analyses investor demand in syndicated bond issuances of EFSF and ESM from 2014 to 2020 on an unprecedented granularity level using a dataset of individual orders with statistical inference. Particularly, we investigate orderbook dynamics for three main aspects: first, we determine the main factors segmenting investor demand. Second, we analyse price dynamics in the transactions and their relation to investor demand. Third, we investigate whether any indications of orderbook inflation might explain the increased volatility in orderbook volume. We identify issuance tranche and tenor as the main determinants of investor demand that are largely anticipated in the notional. Further, we note that ESM is doing economical pricing, where the new issue premium tends to be lower in a market context with larger demand. Lastly, we find a mixture of an increasing number and an increasing volume of orders as drivers of large order books. This confirms that there are no indications of orderbook inflation tendencies in the analysed time period. |
| URI: | https://digitalcollection.zhaw.ch/handle/11475/29688 |
| Fulltext version: | Published version |
| License (according to publishing contract): | CC BY 4.0: Attribution 4.0 International |
| Departement: | School of Management and Law |
| Organisational Unit: | Institute of Wealth & Asset Management (IWA) |
| Appears in collections: | Publikationen School of Management and Law |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 2023_Hillebrand-etal_Investor-demand-in-syndicated-SFSF-ESM-bond-issuances.pdf | 9.16 MB | Adobe PDF |  View/Open |
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Hillebrand, M., Mravlak, M., & Schwendner, P. (2023). Investor demand in syndicated EFSF/ESM bond issuances. Open Research Europe, 3(96). https://doi.org/10.12688/openreseurope.15961.1
Hillebrand, M., Mravlak, M. and Schwendner, P. (2023) ‘Investor demand in syndicated EFSF/ESM bond issuances’, Open Research Europe, 3(96). Available at: https://doi.org/10.12688/openreseurope.15961.1.
M. Hillebrand, M. Mravlak, and P. Schwendner, “Investor demand in syndicated EFSF/ESM bond issuances,” Open Research Europe, vol. 3, no. 96, Jun. 2023, doi: 10.12688/openreseurope.15961.1.
HILLEBRAND, Martin, Marko MRAVLAK und Peter SCHWENDNER, 2023. Investor demand in syndicated EFSF/ESM bond issuances. Open Research Europe. 14 Juni 2023. Bd. 3, Nr. 96. DOI 10.12688/openreseurope.15961.1
Hillebrand, Martin, Marko Mravlak, and Peter Schwendner. 2023. “Investor Demand in Syndicated EFSF/ESM Bond Issuances.” Open Research Europe 3 (96). https://doi.org/10.12688/openreseurope.15961.1.
Hillebrand, Martin, et al. “Investor Demand in Syndicated EFSF/ESM Bond Issuances.” Open Research Europe, vol. 3, no. 96, June 2023, https://doi.org/10.12688/openreseurope.15961.1.
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