One asset, two prices: the case of the Tsarist repudiated bonds
AbstractPrices of repudiated bonds are insightful but scarcely observed. Based on an original daily database, this paper compares the price evolution from January 6, 1916 to August 31, 1919 of a cross-listed (Paris and London) Tsarist bond repudiated by the Soviets on February 8, 1918. After its repudiation, the bond exhibits an important geographic price differential. This phenomenon is attributed to the conjunction of war conditions excluding arbitrage and specific investors' expectations regarding bailouts by the French and British governments. Furthermore, data from the pre-repudiation period show that the impossibility for arbitrage is not sufficient for driving the pricing differences.
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers CEB with number 04-022.RS.
Date of creation: 2004
Date of revision:
Publication status: Published by: Centre Emile Bernheim, Bruxelles
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Bonds; repudiation; sovereign debt; Russia.;
Other versions of this item:
- Kim Oosterlinck & Ariane Szafarz, 2004. "One Asset, Two Prices: The case of the Tsarist Repudiated Bonds," Economic History 0409001, EconWPA.
- F34 - International Economics - - International Finance - - - International Lending and Debt Problems
- N24 - Economic History - - Financial Markets and Institutions - - - Europe: 1913-
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-02-05 (All new papers)
- NEP-FIN-2006-02-05 (Finance)
- NEP-FMK-2006-02-05 (Financial Markets)
- NEP-HIS-2006-02-05 (Business, Economic & Financial History)
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- John Landon-Lane & Kim Oosterlinck, 2005.
"Hope springs eternal: French bondholders and the Soviet repudiation (1915-1919),"
Working Papers CEB
05-013.RS, ULB -- Universite Libre de Bruxelles.
- Kim Oosterlinck & John Landon-lane, 2006. "Hope Springs Eternal – French Bondholders and the Soviet Repudiation (1915–1919)," Review of Finance, European Finance Association, vol. 10(4), pages 507-535, December.
- Kim Oosterlinck & J.S. Landon-Lane, 2006. "Hope springs eternal - French bondholders and the Soviet repudiation (1915-1919)," ULB Institutional Repository 2013/142696, ULB -- Universite Libre de Bruxelles.
- Waldenström, Daniel, 2005. "Does Sovereign Risk Differ for Domestic and Foreign Investors? Historical Evidence from Scandinavian Bond Markets," Working Paper Series in Economics and Finance 585, Stockholm School of Economics, revised 18 Feb 2005.
- John Landon-Lane & Kim Oosterlinck, 2005. "Hope springs eternal… French bondholders and the Soviet Repudiation (1915-1919)," Departmental Working Papers 200513, Rutgers University, Department of Economics.
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