| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29410 |
| 来源ID | Working Paper 29410 |
| CLO Performance | |
| Larry Cordell; Michael R. Roberts; Michael Schwert | |
| 发表日期 | 2021-11-01 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We study the performance of collateralized loan obligations (CLOs) to understand the market imperfections giving rise to these vehicles and their corresponding economic costs. CLO equity tranches earn positive abnormal returns from the risk-adjusted price differential between leveraged loans and CLO debt tranches. Debt tranches offer higher returns than similarly rated corporate bonds, making them attractive to banks and insurers that face risk-based capital requirements. Temporal variation in equity performance highlights the resilience of CLOs to market volatility due to their closed-end structure, long-term funding, and embedded options to reinvest principal proceeds. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w29410 |
| 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/587084 |
| 推荐引用方式 GB/T 7714 | Larry Cordell,Michael R. Roberts,Michael Schwert. CLO Performance. 2021. |
| 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 | ||
| w29410.pdf（692KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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