The market for borrowing corporate bonds

• 成果类型: Article
• 署名作者: Asquith, Paul; Au, Andrea S.; Covert, Thomas; Pathak, Parag A.
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Harvard University; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.08.007
• 发表日期: 2013
• 页码: 155-182
• 关键词: Short sales; Securities lending; Corporate bonds; CDS

摘要

This paper describes the market for borrowing corporate bonds using a comprehensive data set from a major lender. The cost of borrowing corporate bonds is comparable to the cost of borrowing stock, between 10 and 20 basis points, and both have fallen over time. Factors that influence borrowing costs are loan size, percentage of inventory lent, rating, and borrower identity. There is no evidence that bond short sellers have private information. Bonds with Credit Default Swaps (CDS) contracts are more actively lent than those without. Finally, the 2007 Credit Crunch does not affect average borrowing costs or loan volume, but does increase borrowing cost variance. (C) 2012 Elsevier B.V. All rights reserved.