Determinants of bond’s mispricing

Abstract

This paper attempts to analyse the existence of underpricing in bond offers Banco Carregosa participated between October 2014 and June 2018 and the factors affecting bond’s mispricing in two different time frames, 1st day and 1st month. It was found that, for a very short term, underpricing is mostly affected by credit risk factors and macroeconomic conditions and partially described by liquidity aspects and information asymmetries. For longer periods, liquidity aspects and macroeconomic context are the main determinants. Credit risk factors lose their influence and information asymmetries continue to partially affect bond’s mispricing, however, represented by a different factor.