The Collateralizability Premium

• 成果类型: Article
• 署名作者: Ai, Hengjie; Li, Jun E.; Li, Kai; Schlag, Christian
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Shanghai Jiao Tong University; Hong Kong University of Science & Technology; Goethe University Frankfurt
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa063
• 发表日期: 2020
• 页码: 5821
• 关键词: cross-section; financial constraints; long-run; asset; RISK; GROWTH; INVESTMENT; returns; MODEL

摘要

A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. Theory suggests a negative collateralizability premium; that is, capital that can be used as collateral to relax financial constraints insures against aggregate shocks and commands a lower risk compensation compared with noncollateralizable assets. We show that a long-short portfolio constructed using a novel measure of asset collateralizability generates an average excess return of around 8% per year. We develop a general equilibrium model with heterogeneous firms and financial constraints to quantitatively account for the collateralizability premium.