OVERCROWDING VERSUS LIQUIDITY IN THE EURO SOVEREIGN BOND MARKETS
研究了欧元区国家发行国债时，债券发行集中度与收益率之间的关系，发现发行过于集中会推高投资者要求的回报，而增加市场流动性则能降低收益率。
ABSTRACT With the adoption of a common currency, the degree of substitution between financial instruments supplied by EMU Member States to finance their national debts has risen. Providing the market for euro‐denominated government securities with a large volume of similar financial instruments is likely to increase liquidity and lower yields. By contrast, providing an excessive volume of the same instrument might increase the return demanded by investors. This paper aims at empirically assessing the balance between liquidity and overcrowding effects by EMU countries' issuance plans. Our results document a significant relationship between bunching in issues and bond yields. Copyright © 2012 John Wiley & Sons, Ltd.