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Essays in Leveraged Capital Markets

机译：杠杆资本市场论文

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摘要

The debt capital markets for leveraged borrowers are ripe with information asymmetry, lender specialization, and borrower segmentation. In this dissertation, I explore how these factors manifest themselves and the economic consequences thereof. Essay 1 shows that adverse selection and moral hazard concerns are inherent in underwriting syndicates that differ in size and number of lead underwriters. Using a nested double selection probit model of syndicate choice, I examine the matching of issuers and underwriters and find that matches of issuer quality and underwriter reputation are positive assortative. Further, switching regressions show that yield spreads reflect uncertainty about the intrinsic values of debt issued. Yield spreads are 150 basis points higher when poor issuer and issue quality require multiple lead underwriters, but weak lead underwriter reputation constrains the size of the syndicate needed for information production and distribution. Essay 2 shows that borrowers care who are their lenders. The matches between borrowers and lenders are endogenously determined and negative assortative. Creditworthy but opaque firms will choose to borrow from specialized lenders (QIBs), who are more adept at assessing issuer quality, maintaining confidentiality of private disclosures, and monitoring. In Essay 3, I investigate the default and bankruptcy hazards of covenant-lite and fully covenanted leveraged loans over the period 1999 to Q3:2016. I show how lender specialization and borrower segmentation in the leveraged loan market is impounded in the pricing of loans characterized by low probability but high loss events. Non-bank lenders rely on screening of speculative grade rated borrowers and secondary market trading of loans to control potential agency conflicts with borrowers. Traditional monitoring is more important for bank lenders. The default rates of covenant-lite loans are lower than on fully covenanted loans, but recovery rates implied by higher yield spreads are substantially lower. In loan pricing, lenders give considerably more weight to losses when default occurs.
机译：杠杆借款人的债务资本市场已经成熟，信息不对称，贷方专门化和借款人细分化。在本文中，我探讨了这些因素如何表现出来及其经济后果。论文1表明，承销集团的规模和数量各不相同，不利于选择和道德风险。通过使用嵌套的银团选择双重选择概率模型，我研究了发行人和承销商的匹配情况，发现发行人质量和承销商声誉的匹配是正向的。此外，转换回归表明收益率利差反映了已发行债务内在价值的不确定性。当不良的发行人和发行质量要求多个主承销商时，收益点差提高了150个基点，但是主承销商的声誉较弱限制了信息生产和发行所需的银团的规模。文章2显示，借款人关心谁是贷方。借款人和贷方之间的匹配是内生决定的，为负分类。信誉良好但不透明的公司将选择向专业贷款人（QIBs）借钱，他们更擅长评估发行人的质量，维护私人披露的机密性并进行监控。在论文3中，我研究了1999年至2016年第三季度期间精简契约和完全契约杠杆贷款的违约和破产风险。我展示了杠杆贷款市场中的贷方专业化和借款人细分是如何在以低概率但高损失事件为特征的贷款定价中实现的。非银行贷方依靠筛选投机等级评级的借款人和贷款的二级市场交易来控制与借款人的潜在代理冲突。对于银行贷方而言，传统的监控更为重要。精简契约贷款的违约率低于完全契约贷款，但高收益率隐含的回收率则大大降低。在贷款定价中，当违约发生时，贷方对损失的重视程度更高。

著录项

  • 作者

    Ford, Kenneth D.;

  • 作者单位

    University of Arkansas.;

  • 授予单位 University of Arkansas.;
  • 学科 Finance.
  • 学位 Ph.D.
  • 年度 2018
  • 页码 117 p.
  • 总页数 117
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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