| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26520 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w26520 |
| 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/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. |
| 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 | ||
| w26520.pdf（1314KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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