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dc.creatorAi, Hengjie
dc.creatorLi, Jun E.
dc.creatorLi, Kai
dc.creatorSchlag, Christian
dc.date.accessioned2021-09-28T09:38:53Z
dc.date.available2021-09-28T09:38:53Z
dc.date.issued2019-10-09
dc.identifier.urihttps://fif.hebis.de/xmlui/handle/123456789/2370
dc.description.abstractA 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.rightsAttribution-ShareAlike 4.0 International
dc.rights.urihttp://creativecommons.org/licenses/by-sa/4.0/
dc.subjectFinancial Markets
dc.titleThe Collateralizability Premium
dc.typeWorking Paper
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1349?BEA
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1379?CRSP
dcterms.referenceshttps://fif.hebis.de/xmlui/handle/123456789/1376?Compustat
dc.source.filename264_SSRN-id3474975
dc.identifier.safeno264
dc.subject.keywordscross-section of returns
dc.subject.keywordsfinancial frictions
dc.subject.keywordscollateral constraint
dc.subject.jelE2
dc.subject.jelE3
dc.subject.jelG12
dc.subject.topic1crossSectional
dc.subject.topic1conduct
dc.subject.topic1table
dc.subject.topic2cash
dc.subject.topic2investment
dc.subject.topic2leverage
dc.subject.topic3constraint
dc.subject.topic3parameter
dc.subject.topic3persistence
dc.subject.topic1nameSaving and Borrowing
dc.subject.topic2nameCorporate Finance
dc.subject.topic3nameMacro Finance
dc.identifier.doi10.2139/ssrn.3474975


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