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Domestic primary dealers’ disclosure and peer banks’ asset allocation decisions: Evidence from sovereign debt classification

Francesco Grazioli & Annalisa Prencipe

Journal of Banking & Finance2026https://doi.org/10.1016/j.jbankfin.2026.107642article
AJG 3ABDC A*
Weight
0.50

Abstract

Primary dealers are sophisticated investors appointed by sovereign issuers to buy, promote, and distribute sovereign debt that develop a deep knowledge of sovereign debt markets. This study examines domestic primary dealers’ sovereign debt classification, which is presumed to reflect their superior information sets on expected sovereign yields. We hypothesize that when this classification is disclosed in financial statements, peer banks adjust their asset allocation accordingly. We first document the predictive ability of domestic primary dealers’ sovereign debt classification for future sovereign yields. Next, using a sample of 6,437 bank-year observations over the 2012–2019 period and after controlling for publicly available information and other determinants of banks’ asset allocation decisions, we show that peer banks divest financial instruments and increase loans when domestic primary dealers disclose more sovereign debt at amortised cost. These effects are more pronounced among peer banks facing greater informational disadvantages.

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https://doi.org/https://doi.org/10.1016/j.jbankfin.2026.107642

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@article{francesco2026,
  title        = {{Domestic primary dealers’ disclosure and peer banks’ asset allocation decisions: Evidence from sovereign debt classification}},
  author       = {Francesco Grazioli & Annalisa Prencipe},
  journal      = {Journal of Banking & Finance},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1016/j.jbankfin.2026.107642},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.