Collateral pricing

被引：176

作者：

Benmelech, Efraim ^{[2
,3
]}

Bergman, Nittai K. ^{[1
,3
]}

机构：

[1] MIT, Alfred P Sloan Sch Management, Cambridge, MA 02142 USA

[2] Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA

[3] NBER, Cambridge, MA 02138 USA

来源：

JOURNAL OF FINANCIAL ECONOMICS | 2009年 / 91卷 / 03期

关键词：

Collateral; Redeployability; Liquidation; Collateralized debt obligations; Airlines; LIQUIDATION VALUES; CREDIT; RENEGOTIATION; EQUILIBRIUM; CONTRACTS; QUALITY; DEFAULT; LOANS; DEBT;

D O I：

10.1016/j.jfineco.2008.03.003

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine how collateral affects the cost of debt capital. Using a novel data set of secured debt issued by U.S. airlines, we construct industry-specific measures of collateral redeployability. We show that debt tranches that are secured by more redeployable collateral exhibit lower credit spreads, higher credit ratings, and higher loan-to-value ratios-an effect which our estimates show to be economically sizeable. Our results suggest that the ability to pledge collateral, and in particular redeployable collateral, lowers the cost of external financing and increases debt capacity. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：339 / 360

页数：22

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