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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/62422

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/62422

Title:	Information asymmetry and bank regulation:Can the spread of debt contracts be explained by recovery rate?
Authors:	劉文謙;Peter Miu;張元晨;Bogie Ozdemir Liu, Wenchien;Peter Miu;Chang, Yuanchen;Bogie Ozdemir
Contributors:	政大財管系
Keywords:	Recovery rate;Information asymmetry;Bank regulation;Corporate governance;Credit rating;Glass–Steagall Act;Financial Modernization Act
Date:	2012-01
Issue Date:	2013-12-12 17:09:24 (UTC+8)
Abstract:	We investigate whether the spread of corporate debt contacts can be explained by their ultimate recovery rates. Using the actual realized recovery rates of defaulted debt instruments issued in the US from 1962 to 2007, we find that recovery rate is reflected in the spread at issuance, and that this relationship has become more significant since commercial banks were allowed to underwrite corporate securities. Our further investigation indicates that the enhanced informativeness of recovery rate can be attributed to the lowering of information asymmetry of individual firms. Besides, the relation between the spread at issuance and the recovery rate is stronger for weak corporate governance and non-investment grade issuers. Our conclusions are found to be robust to endogeneity issues, potentially omitted variables and alternative model specifications.
Relation:	Journal of Financial Intermediation, 21(1), 123-150
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.jfi.2011.07.001
DOI:	10.1016/j.jfi.2011.07.001
Appears in Collections:	[財務管理學系] 期刊論文

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