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

香港中文大學研究人員

引用次數
替代計量分析
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其它資訊
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.
著者Thomas H, Wang ZQ
會議名稱15th Australasian Finance and Banking Conference
會議開始日01.12.2002
會議地點SYDNEY
期刊名稱Journal of Banking and Finance
出版年份2004
月份2
日期1
卷號28
期次2
出版社ELSEVIER SCIENCE BV
頁次299 - 329
國際標準期刊號0378-4266
電子國際標準期刊號1872-6372
語言英式英語
關鍵詞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 學科類別Business & Economics; Business, Finance; BUSINESS, FINANCE; Economics; ECONOMICS

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