G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w26520
来源IDWorking Paper 26520
Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets
Hui Chen; Zhuo Chen; Zhiguo He; Jinyu Liu; Rengming Xie
发表日期2019-12-02
出版年2019
语种英语
摘要We provide causal evidence for the value of asset pledgeability. Our empirical strategy is based on a unique feature of the Chinese corporate bond markets, where bonds with identical fundamentals are simultaneously traded on two segmented markets with different rules for repo transactions. We utilize a policy shock on December 8, 2014, which rendered a class of AA+ and AA bonds ineligible for repo on one of the two markets. By comparing how bond prices changed across markets and rating classes around this event, we estimate that when the haircut increases from 0 to 100%, the bond yields increase in the range of 39 to 85 bps. These estimates help us infer the magnitude of the shadow cost of capital in China.
主题Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions
URLhttps://www.nber.org/papers/w26520
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/584192
推荐引用方式
GB/T 7714
Hui Chen,Zhuo Chen,Zhiguo He,et al. Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets. 2019.
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