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Municipal Bond Trading, Information Relatedness, and Natural Disasters

Brittany Cole, Bonnie Van Ness and Robert Van Ness
The Journal of Trading Summer 2018, 13 (3) 24-43; DOI: https://doi.org/10.3905/jot.2018.1.063
Brittany Cole
is an assistant professor of finance at Tennessee Tech University in Cookeville, TN
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Bonnie Van Ness
is the Otho Smith Professor of Finance at the University of Mississippi in University, MS
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Robert Van Ness
is the Bruce Moore Scholar of Finance at the University of Mississippi in University, MS
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Abstract

The authors study municipal bond market activity before, during, and after natural disasters (tornadoes, wildfires, and hurricanes/tropical storms). Using a sample of municipal bond trades from 2010 to 2013, they find that natural disasters influence municipal bond trading. Specifically, they show that spreads are lower on both tornado and wildfire event days and during the following five trading days than during the preceding five trading days. Although the study does not document a relationship between hurricane events and spreads, the authors show that spreads fall during the five days following the hurricane compared with the five trading days before the event. Generally, the study shows an increase in dollar volume in the five trading days following all three types of natural disasters. The authors also find linkages between the bonds affected by natural disasters and related bonds.

TOPICS: Fixed income and structured finance, tail risks

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The Journal of Trading: 13 (3)
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Municipal Bond Trading, Information Relatedness, and Natural Disasters
Brittany Cole, Bonnie Van Ness, Robert Van Ness
The Journal of Trading Jul 2018, 13 (3) 24-43; DOI: 10.3905/jot.2018.1.063

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Municipal Bond Trading, Information Relatedness, and Natural Disasters
Brittany Cole, Bonnie Van Ness, Robert Van Ness
The Journal of Trading Jul 2018, 13 (3) 24-43; DOI: 10.3905/jot.2018.1.063
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  • Article
    • Abstract
    • RELATED LITERATURE
    • HYPOTHESES
    • SAMPLE AND DATA
    • THE MUNICIPAL BOND MARKET DESCRIPTION
    • RESULTS
    • CONCLUSION
    • APPENDIX A
    • APPENDIX B
    • APPENDIX C
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
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