Anchoring on Credit Spreads

• 成果类型: Article
• 署名作者: Dougal, Casey; Engelberg, Joseph; Parsons, Christopher A.; Van Wesep, Edward D.
• 署名单位: Drexel University; University of California System; University of California San Diego; Vanderbilt University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12248
• 发表日期: 2015
• 页码: 1039-1080
• 关键词: PROSPECT-THEORY

摘要

This paper documents that the path of credit spreads since a firm's last loan influences the level at which it can currently borrow. If spreads have moved in the firm's favor (i.e., declined), it is charged a higher interest rate than is justified by current fundamentals, whereas if spreads have moved to the firm's detriment, it is charged a lower rate. We evaluate several possible explanations for this finding, and conclude that anchoring to past deal terms is most plausible.