The integration of bank syndicated loan and junk bond markets
Publication in refereed journal


香港中文大学研究人员 ( 现职)

谭安厚教授 (金融学系)

全文

数位物件识别号 (DOI) http://dx.doi.org/10.1016/j.jbankfin.2003.01.001

引用次数
Web of Sciencehttp://aims.cuhk.edu.hk/converis/portal/Publication/7WOS source URL

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摘要This paper hypothesizes that the special role of banks as corporate quasi-insiders has been changing due to developments in informational, legal and institutional infrastructures of syndicated loan markets. We investigate the integration of intermediated and disintermediated financial markets through highly leveraged transaction (HLT) syndicated loans during the 1990s. We demonstrate that, with the emergence of traded HLT syndicated loans as an alternative high-yield asset to high-yield bonds, market integration has dramatically increased. Taking the late 1980s and 1990s together, different factors explain the movement of credit spreads of the two markets. HLT loan market's spreads are strongly affected by bank liquidity. Bank liquidity's effect on HLT loan spreads disappears after 1993. From 1994-1999, junk bond market liquidity factors affect bank loan pricing. We interpret these changes as evidence of the erosion of bank specialness. (C) 2003 Elsevier B.V. All rights reserved.

着者Thomas H, Wang ZQ
会议名称15th Australasian Finance and Banking Conference
会议开始日01.12.2002
会议地点SYDNEY
期刊名称Journal of Banking and Finance
出版年份2004
月份2
日期1
卷号28
期次2
出版社ELSEVIER SCIENCE BV
页次299 - 329
国际标準期刊号03http://aims.cuhk.edu.hk/converis/portal/Publication/78-4266
电子国际标準期刊号18http://aims.cuhk.edu.hk/converis/portal/Publication/72-63http://aims.cuhk.edu.hk/converis/portal/Publication/72
语言英式英语

关键词bank liquidity; bank loan pricing; credit spreads; disintermediation; high yield bonds; highly leveraged transactions; junk bonds; special role of banks; syndicated loans
Web of Science 学科类别Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS