| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13344 |
| DP13344 The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone | |
| Roman Goncharenko; Steven Ongena; Asad Rauf | |
| 发表日期 | 2018-11-29 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Most regulators grant contingent convertible bonds (CoCos) the status of equity. The theory, however, suggests that these securities can distort incentives via inducing debt overhang and risk shifting. In this paper, we therefore theoretically model how the degree of this distortion varies with bank risk. Our model predicts that riskier banks face higher debt overhang from CoCos. Next, analyzing a comprehensive database of CoCo issuance in Europe, we empirically test the predictions of our model. We find that banks with lower risk are more likely to issue CoCos than their riskier counterparts. Since in the current regulatory framework of Basel III banks are expected to raise equity prior to CoCo conversion, future debt overhang makes CoCos an expensive source of capital. Thus, riskier banks will opt for equity issuance over CoCos. |
| 主题 | Financial Economics |
| 关键词 | Cocos Contingent convertible bonds Bank capital structure Debt overhang Basel iii |
| URL | https://cepr.org/publications/dp13344 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542156 |
| 推荐引用方式 GB/T 7714 | Roman Goncharenko,Steven Ongena,Asad Rauf. DP13344 The Agency of CoCos: Why Contingent Convertible Bonds Aren't for Everyone. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
