Efficiency in the eurobond market: application of nonparametric techniques

• Autores: María Bonilla Musoles, Leandro García Menéndez, María Luisa Martí Selva
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 17, Nº. 4-6, 2007, págs. 431-444
• Idioma: inglés
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• Resumen

  • aim of this article is to analyse the efficiency of eurobond issuers within the primary market, from 1995 to 2000. The study includes a reference to theoretical discussion and to the methodology used; detailed explanation of the variables considered which, in order to supplement those strictly financial, include others such as spread from Interest Rate Risk (IRR) and respective swap; rating, duration and size; and macroeconomic fundamentals of the issuer country. Results and conclusions obtained from the static and dynamic efficiency analyses are then illustrated and discussed.