Collateral pricing

• 成果类型: Article
• 署名作者: Benmelech, Efraim; Bergman, Nittai K.
• 署名单位: Massachusetts Institute of Technology (MIT); Harvard University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.03.003
• 发表日期: 2009
• 页码: 339-360
• 关键词: Collateral; Redeployability; liquidation; Collateralized debt obligations; airlines

摘要

We examine how collateral affects the cost of debt capital. Using a novel data set of secured debt issued by U.S. airlines, we construct industry-specific measures of collateral redeployability. We show that debt tranches that are secured by more redeployable collateral exhibit lower credit spreads, higher credit ratings, and higher loan-to-value ratios-an effect which our estimates show to be economically sizeable. Our results suggest that the ability to pledge collateral, and in particular redeployable collateral, lowers the cost of external financing and increases debt capacity. (C) 2008 Elsevier B.V. All rights reserved.