Research

Ongoing research projects

Digital Bonds: The Role of Costs and Document Information on Trading Volume

Shufan Ma, Bertram Steininger, Zan Yang

Abstract

This paper examines digital bonds issued on blockchain platforms, classifying them as native or non-native (tokenized) based on issuance architecture. Using a dataset of 7,719 transactions in tokenized treasury products backed by U.S. government securities, we analyze how transaction costs, management fees, macroeconomic conditions, and regulatory structures affect trading volume. Higher transaction costs are associated with lower trading activity, while management fees exhibit a positive association conditional on documentation quality. To measure disclosure content, we apply large language models to quantify the informativeness of legal, financial, and technological product documentation. Financial disclosures increase trading volume, while legal disclosures reduce it. Interaction effects show that financial information attenuates investor sensitivity to management fees, whereas legal and technological clarity amplify it. Instrumental variable estimation, placebo simulations, and heterogeneity analysis confirm the robustness of the results. Our findings contribute to the literature on digital finance and tokenized assets by identifying how cost structures and documentation quality jointly influence participation in decentralized fixed-income markets.

Keywords: Digital Bonds, Tokenized Treasury Products, Trading Volume, Decentralized Finance (DeFi)

JEL Classification: G12, G23, O33

Pricing Digital Bonds: Evidence from Blockchain-Based Issuance

Shufan Ma and Bertram I. Steininger

Abstract

This paper examines whether blockchain-based bond issuance leads to pricing advantages or disadvantages in primary markets. We develop a signaling model in which digital issuance can serve as a costly but credible signal of issuer digital capability, particularly under asymmetric information. Using a global dataset of 37 digital bonds and more than 15,000 conventional bonds issued between 2014 and 2025, we provide the first systematic empirical assessment of the pricing implications of digital bond issuance. Our analysis focuses on two yield-based measures: the digital premium, defined as the yield differential between a digital bond and a synthetic conventional bond issued by the same entity, and the yield spread relative to sovereign benchmarks. We find that digital bonds are issued at yields approximately 34 basis points higher than matched conventional counterparts, and exhibit yield spreads that are 38 basis points higher than those of conventional bonds. These results suggest that investors demand additional compensation for the risks associated with digital issuance, such as regulatory uncertainty and market illiquidity. The digital yield spread varies significantly across issuer types, currencies, and regulatory regimes. In particular, the introduction of the EU’s Markets in Crypto-Assets (MiCA) regulation coincides with increased digital yield spreads for non-EU issuers, consistent with regulatory fragmentation effects. Our results are robust in robustness checks, including bootstrap-based matching, entropy balancing, placebo tests, and random reassignments. In general, the findings indicate that while blockchain technology can streamline issuance processes, digital bonds remain more costly for issuers than conventional alternatives.

Keywords: Digital Bond, Blockchain Finance, Bond Pricing, Digital Premium, Financial Innovation 

JEL Codes: G12; G21; G23; G28; O33