dc.creator | Ai, Hengjie | |
dc.creator | Li, Jun E. | |
dc.creator | Li, Kai | |
dc.creator | Schlag, Christian | |
dc.date.accessioned | 2021-09-28T09:38:53Z | |
dc.date.available | 2021-09-28T09:38:53Z | |
dc.date.issued | 2019-10-09 | |
dc.identifier.uri | https://fif.hebis.de/xmlui/handle/123456789/2370 | |
dc.description.abstract | A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium, that is, capital that can be used as collateral to relax financial constraints provides insurance against aggregate shocks and commands a lower risk compensation compared with non-collateralizable assets. We show that a longshort portfolio constructed using a novel measure of asset collateralizability generates an average excess return of around 8% per year. We develop a general equilibrium model with heterogeneous firms and financial constraints to quantitatively account for the collateralizability premium. | |
dc.rights | Attribution-ShareAlike 4.0 International | |
dc.rights.uri | http://creativecommons.org/licenses/by-sa/4.0/ | |
dc.subject | Financial Markets | |
dc.title | The Collateralizability Premium | |
dc.type | Working Paper | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1349?BEA | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1379?CRSP | |
dcterms.references | https://fif.hebis.de/xmlui/handle/123456789/1376?Compustat | |
dc.source.filename | 264_SSRN-id3474975 | |
dc.identifier.safeno | 264 | |
dc.subject.keywords | cross-section of returns | |
dc.subject.keywords | financial frictions | |
dc.subject.keywords | collateral constraint | |
dc.subject.jel | E2 | |
dc.subject.jel | E3 | |
dc.subject.jel | G12 | |
dc.subject.topic1 | crossSectional | |
dc.subject.topic1 | conduct | |
dc.subject.topic1 | table | |
dc.subject.topic2 | cash | |
dc.subject.topic2 | investment | |
dc.subject.topic2 | leverage | |
dc.subject.topic3 | constraint | |
dc.subject.topic3 | parameter | |
dc.subject.topic3 | persistence | |
dc.subject.topic1name | Saving and Borrowing | |
dc.subject.topic2name | Corporate Finance | |
dc.subject.topic3name | Macro Finance | |
dc.identifier.doi | 10.2139/ssrn.3474975 | |