Benchmark Status in Fixed-Income Asset Markets

Peter Dunne, Michael Moore, R. Portes

Research output: Contribution to journalArticle

28 Citations (Scopus)

Abstract

What is a benchmark bond? We provide a formal theoretical treatment of this concept that relates endogenously determined benchmark status to the location of price discovery and we derive its implications. We describe a rich but little used econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this in the context of the US corporate bond market and to the natural experiment that occurred when benchmark status was contested in the European sovereign bond markets after the introduction of the Euro. 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 10 year maturity in the US corporate bond market.
Original languageEnglish
Pages (from-to)1-20
Number of pages20
JournalJournal of Business Finance & Accounting
Volume00
Issue number9-10
DOIs
Publication statusPublished - Nov 2007

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)

Fingerprint Dive into the research topics of 'Benchmark Status in Fixed-Income Asset Markets'. Together they form a unique fingerprint.

  • Cite this