Benchmark Status in Fixed-Income Asset Markets

20 Pages Posted: 11 Dec 2007

See all articles by Peter G. Dunne

Peter G. Dunne

Central Bank of Ireland

Michael J. Moore

affiliation not provided to SSRN

Richard Portes

London Business School - Department of Economics; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

Abstract

What is a benchmark bond? We provide a formal theoretical treatment of this concept that relates endogenously determined benchmark status to price discovery, and we derive its implications. We describe an econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this to the US corporate bond market and to the natural experiment that occurred when benchmark status was contested in the European sovereign bond markets. 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 US corporate bond market.

Suggested Citation

Dunne, Peter G. and Moore, Michael J. and Portes, Richard, Benchmark Status in Fixed-Income Asset Markets. Journal of Business Finance & Accounting, Vol. 34, Nos. 9-10, pp. 1615-1634, November/December 2007, Available at SSRN: https://ssrn.com/abstract=1065848 or http://dx.doi.org/10.1111/j.1468-5957.2007.02039.x

Peter G. Dunne (Contact Author)

Central Bank of Ireland ( email )

P.O. Box 559
Dame Street
Dublin, 2
Ireland

Michael J. Moore

affiliation not provided to SSRN

No Address Available

Richard Portes

London Business School - Department of Economics ( email )

Regent's Park
London, NW1 4SA
United Kingdom
+44 20 7000 8424 (Phone)
+44 20 7000 8401 (Fax)

HOME PAGE: http://faculty.london.edu/rportes/

Centre for Economic Policy Research (CEPR)

London
United Kingdom

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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