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One Asset, Two Prices: The case of the Tsarist Repudiated Bonds

Author

Listed:
  • Kim Oosterlinck

    (Universite Libre de Bruxelles)

  • Ariane Szafarz

    (Universite Libre de Bruxelles)

Abstract

Prices 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 unusual phenomenon is attributed to the conjunction of war conditions excluding arbitrage and specific investors' expectations regarding bailouts by 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.

Suggested Citation

  • Kim Oosterlinck & Ariane Szafarz, 2004. "One Asset, Two Prices: The case of the Tsarist Repudiated Bonds," Economic History 0409001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpeh:0409001
    Note: Type of Document - pdf; pages: 10
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    Cited by:

    1. Kim Oosterlinck & John Landon-Lane, 2006. "Hope springs eternal - French bondholders and the Soviet repudiation (1915-1919)," Post-Print CEB, ULB -- Universite Libre de Bruxelles, vol. 10(4), pages 507-535, December.
    2. 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.
    3. Waldenström, Daniel, 2005. "Does Sovereign Risk Differ for Domestic and Foreign Investors? Historical Evidence from Scandinavian Bond Markets," SSE/EFI Working Paper Series in Economics and Finance 585, Stockholm School of Economics, revised 18 Feb 2005.

    More about this item

    Keywords

    bonds; repudiation; sovereign debt; Russia;
    All these keywords.

    JEL classification:

    • N - Economic History

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