Market discipline of banks: Why are yield spreads on bank-issued subordinated notes and debentures not sensitive to bank risks?

被引：48

作者：

Balasubrarnnian, Bhanu ^{[1
]}

Cyree, Ken B. ^{[2
]}

机构：

[1] Emporia State Univ, Emporia, KS 66801 USA

[2] Univ Mississippi, Sch Business Adm, University, MS 38667 USA

来源：

JOURNAL OF BANKING & FINANCE | 2011年 / 35卷 / 01期

关键词：

Subordinated debt; Trust-preferred securities; Yield spread; Too-big-to-fail; Default risk; CORPORATE-BONDS; IDIOSYNCRATIC RISK; TRADING COSTS; DEBT; LIQUIDITY; DETERMINANTS; VOLATILITY; ESTIMATORS; SECURITIES;

D O I：

10.1016/j.jbankfin.2010.07.015

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The default risk sensitivity of yield spreads on bank-issued subordinated notes and debentures (SNDs) decreased after banks started issuing trust-preferred securities (TPS). The too-big-to-fail (TBTF) discount on yield spreads is absent prior to the LTCM bailout, but the size discount doubles after the LTCM bailout. Prior to TPS issuance and the LTCM bailout, SND yield spreads are sensitive to conventional firm-specific default risk measures, but not after the bailout. We find paradigm shift in determinants of yield spreads after the LTCM bailout. Yield spreads on TPS are sensitive to default risks and can provide an additional source of market discipline. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：21 / 35

页数：15

共 39 条

[21] Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS [J].