Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets

• 成果类型: Article
• 署名作者: Chen, Hui; Chen, Zhuo; He, Zhiguo; Liu, Jinyu; Xie, Rengming
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Tsinghua University; University of International Business & Economics; University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13266
• 发表日期: 2023
• 页码: 2563-2620
• 关键词: cross-section; liquidity; equilibrium; search; intermediation; COSTS

摘要

We provide causal evidence on the value of asset pledgeability by exploiting a unique feature of Chinese corporate bond markets: bonds with identical fundamentals are traded on two segmented markets with different rules for repo transactions. Using a policy shock that rendered AA+ and AA bonds ineligible for repo on one market only, we compare how bond prices changed across markets and rating classes around this event. When the haircut increases from 0% to 100%, bond yields increase by 39 bps to 85 bps. These estimates help us infer the magnitude of the shadow cost of capital in China.