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題名 Information asymmetry and bank regulation:Can the spread of debt contracts be explained by recovery rate?
作者 劉文謙;Peter Miu;張元晨;Bogie Ozdemir
Liu, Wenchien;Peter Miu;Chang, Yuanchen;Bogie Ozdemir
貢獻者 政大財管系
關鍵詞 Recovery rate;Information asymmetry;Bank regulation;Corporate governance;Credit rating;Glass–Steagall Act;Financial Modernization Act
日期 2012-01
上傳時間 12-Dec-2013 17:09:24 (UTC+8)
摘要 We investigate whether the spread of corporate debt contacts can be explained by their ultimate recovery rates. Using the actual realized recovery rates of defaulted debt instruments issued in the US from 1962 to 2007, we find that recovery rate is reflected in the spread at issuance, and that this relationship has become more significant since commercial banks were allowed to underwrite corporate securities. Our further investigation indicates that the enhanced informativeness of recovery rate can be attributed to the lowering of information asymmetry of individual firms. Besides, the relation between the spread at issuance and the recovery rate is stronger for weak corporate governance and non-investment grade issuers. Our conclusions are found to be robust to endogeneity issues, potentially omitted variables and alternative model specifications.
關聯 Journal of Financial Intermediation, 21(1), 123-150
資料類型 article
DOI http://dx.doi.org/10.1016/j.jfi.2011.07.001
dc.contributor 政大財管系en_US
dc.creator (作者) 劉文謙;Peter Miu;張元晨;Bogie Ozdemirzh_TW
dc.creator (作者) Liu, Wenchien;Peter Miu;Chang, Yuanchen;Bogie Ozdemiren_US
dc.date (日期) 2012-01en_US
dc.date.accessioned 12-Dec-2013 17:09:24 (UTC+8)-
dc.date.available 12-Dec-2013 17:09:24 (UTC+8)-
dc.date.issued (上傳時間) 12-Dec-2013 17:09:24 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/62422-
dc.description.abstract (摘要) We investigate whether the spread of corporate debt contacts can be explained by their ultimate recovery rates. Using the actual realized recovery rates of defaulted debt instruments issued in the US from 1962 to 2007, we find that recovery rate is reflected in the spread at issuance, and that this relationship has become more significant since commercial banks were allowed to underwrite corporate securities. Our further investigation indicates that the enhanced informativeness of recovery rate can be attributed to the lowering of information asymmetry of individual firms. Besides, the relation between the spread at issuance and the recovery rate is stronger for weak corporate governance and non-investment grade issuers. Our conclusions are found to be robust to endogeneity issues, potentially omitted variables and alternative model specifications.en_US
dc.format.extent 307903 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Journal of Financial Intermediation, 21(1), 123-150en_US
dc.subject (關鍵詞) Recovery rate;Information asymmetry;Bank regulation;Corporate governance;Credit rating;Glass–Steagall Act;Financial Modernization Acten_US
dc.title (題名) Information asymmetry and bank regulation:Can the spread of debt contracts be explained by recovery rate?en_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.jfi.2011.07.001en_US
dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.jfi.2011.07.001en_US