| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23999 |
| 来源ID | Working Paper 23999 |
| CoCo Issuance and Bank Fragility | |
| Stefan Avdjiev; Bilyana Bogdanova; Patrick Bolton; Wei Jiang; Anastasia Kartasheva | |
| 发表日期 | 2017-11-13 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | The promise of contingent convertible capital securities (CoCos) as a “bail-in” solution has been the subject of considerable theoretical analysis and debate, but little is known about their effects in practice. In this paper, we undertake the first comprehensive empirical analysis of bank CoCo issues, a market segment that comprises over 730 instruments totaling $521 billion. Four main findings emerge: 1) The propensity to issue a CoCo is higher for larger and better-capitalized banks; 2) CoCo issues result in statistically significant declines in issuers’ CDS spreads, indicating that they generate risk-reduction benefits and lower costs of debt. This is especially true for CoCos that: i) convert into equity, ii) have mechanical triggers, iii) are classified as Additional Tier 1 instruments; 3) CoCos with only discretionary triggers do not have a significant impact on CDS spreads; 4) CoCo issues have no statistically significant impact on stock prices, except for principal write-down CoCos with a high trigger level, which have a positive effect. |
| 主题 | Financial Economics ; Financial Institutions ; Corporate Finance |
| URL | https://www.nber.org/papers/w23999 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581676 |
| 推荐引用方式 GB/T 7714 | Stefan Avdjiev,Bilyana Bogdanova,Patrick Bolton,et al. CoCo Issuance and Bank Fragility. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23999.pdf（557KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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