AFA2019会议论文（35）：Subtle Influences on the Cost of Debt

AFA2019会议论文（35）：Subtle Influences on the Cost of Debt

金融经济学 昨天

1、Debt Issuance in the Era of Passive Investment

Michele Dathan, University of Toronto

Sergei Davydenko, University of Toronto

Abstract

Bond ETFs and other passive bond investment funds provide predictable demand for corporate bonds included in popular bond indices. By issuing index-eligible bonds, firms can take advantage of this passive demand, securing lower spreads and improving other bond contract terms unrelated to index eligibility. Consistent with this prediction, we find that higher passive demand increases firms’ propensity to issue bonds, and results in larger bonds with lower spreads, longer maturities, and fewer covenants. Firms issue a disproportional number of bonds with face value just sufficient to be included in popular bond indices. Following an increase in the index size threshold, some firms withdraw from the bond market while others respond by issuing larger bonds.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1735

2、Capital Supply and Corporate Bond Issuances: Evidence From Mutual Fund Flows

Qifei Zhu, University of Texas at Austin

Abstract

This paper examines how idiosyncratic shocks to capital supply affect firms’ bond issuance decisions. I show that the bond issuance market is segmented: Firms’ existing bondholders are much more likely to participate in bond offerings and purchase a large fraction of the bond issues. As a result, capital of a firm’s existing bondholders affects firm-specific capital supply. Using flows to firms’ mutual fund bondholders as a proxy, I find that companies with stronger capital supply are more likely to issue new bonds, and substitute away from equity and bank loans. Conditional on issuance, they enjoy lower offering yields. In addition, I support the main results by using Bill Gross’ resignation as an exogenous shock to the capital supply for PIMCO’s portfolio companies.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=81

3、Tricks of the Trade? Pre-Issuance Price Maneuvers by Underwriter-Dealers

Jun Kyung Auh, Georgetown University

You Suk Kim, Federal Reserve Board

Mattia Landoni, Southern Methodist University

Abstract

We study the trading of dealers around new bond issues underwritten by affiliates using a complete matched record of U.S. bond market transactions, ownership structure, and bond issues from 2005 to 2015. Compared to dealers unaffiliated to the lead underwriter, affiliated dealers pay 30–60 basis points more for the issuer’s preexisting bonds—prior to, during, and after the issuance event. We interpret this phenomenon as price maneuvers aimed at lowering the reference yield for new issue investors. By examining dealer inventories and profits, we find no support for alternative explanations such as hedging, informed trading, or competitive advantage in market-making.

原文链接：

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=2011

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