Crespi, F, Giacomini, E and Mascia, DV orcid.org/0000-0002-3776-0420 (2019) Bail‐in rules and the pricing of Italian bank bonds. European Financial Management, 25 (2). pp. 1321-1347. ISSN 1354-7798
Abstract
We analyze whether the introduction of the bail‐in tool in January 2016 affected the pricing of Italian bank bonds. Using a unique dataset of 1,798 fixed‐rate bonds issued during the period 2013–2016, we find an increase of the spread at issuance of bail‐inable bonds compared to non‐bail‐inable bonds. This increase also depends on the intrinsic characteristics of each bank. Large institutions, banks with lower ratings, profitability, capitalization, and higher liquidity faced a higher cost of issuing bail‐inable bonds. Overall, our results seem to support the hypothesis of an improved market discipline for the bank bond primary market.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2018 John Wiley & Sons, Ltd. This is the peer reviewed version of the following article: Crespi, F, Giacomini, E, Mascia, DV. Bail‐in rules and the pricing of Italian bank bonds. Eur Financ Manag. 2019; 1– 27, which has been published in final form at https://doi.org/10.1111/eufm.12206. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | bail‐in; bank bonds; cost of funding; too‐big‐to‐fail; G12; G2; G21; G28 |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 04 Apr 2019 15:42 |
Last Modified: | 28 Nov 2020 01:48 |
Status: | Published |
Publisher: | Wiley |
Identification Number: | 10.1111/eufm.12206 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:144486 |