{"title":"银行债务与债券债务:来自二级市场价格的证据","authors":"Amar Gande, E. Altman, A. Saunders","doi":"10.2139/ssrn.639081","DOIUrl":null,"url":null,"abstract":"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. Copyright (c) 2010 The Ohio State University.","PeriodicalId":124312,"journal":{"name":"New York University Stern School of Business Research Paper Series","volume":"227 4","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2006-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"89","resultStr":"{\"title\":\"Bank Debt Versus Bond Debt: Evidence from Secondary Market Prices\",\"authors\":\"Amar Gande, E. Altman, A. Saunders\",\"doi\":\"10.2139/ssrn.639081\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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. Copyright (c) 2010 The Ohio State University.\",\"PeriodicalId\":124312,\"journal\":{\"name\":\"New York University Stern School of Business Research Paper Series\",\"volume\":\"227 4\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2006-10-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"89\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"New York University Stern School of Business Research Paper Series\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.639081\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"New York University Stern School of Business Research Paper Series","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.639081","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Bank Debt Versus Bond Debt: Evidence from Secondary Market Prices
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. Copyright (c) 2010 The Ohio State University.
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