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爱游戏体育app合作罗马:刘津宇,Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets,《JOURNAL OF FINANCE》,2023-10-31

刘津宇,Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets,《JOURNAL OF FINANCE》,2023-10-31

内容简介: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.


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