Bank Debt versus Bond Debt: Evidence from Secondary Market Prices

被引：41

作者：

Altman, Edward I. ^{[1
]}

Gande, Amar ^{[2
]}

Saunders, Anthony ^{[1
]}

机构：

[1] NYU, Dept Finance, Stern Sch Business, New York, NY 10003 USA

[2] So Methodist Univ, Edwin L Cox Sch Business, Dept Finance, Dallas, TX 75275 USA

来源：

JOURNAL OF MONEY CREDIT AND BANKING | 2010年 / 42卷 / 04期

关键词：

bonds; default; loans; monitoring; FINANCIAL INTERMEDIATION; LENDING RELATIONSHIPS; LOAN SALES; INFORMATION; CREDIT;

D O I：

10.1111/j.1538-4616.2010.00306.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper uses a new data set of daily secondary market prices of loans to analyze the specialness of banks as monitors. Consistent with a monitoring advantage of loans over bonds, we find the secondary loan market to be informationally more efficient than the secondary bond market prior to a loan default. Specifically, we find that secondary market loan returns Granger cause secondary market bond returns prior to a loan default. In contrast, secondary market bond returns do not Granger cause secondary market loan returns prior to a loan default.

引用

页码：755 / 767

页数：13