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تامین مالی بدهی مستقیم

عنوان فارسی مقاله: تجزیه و تحلیل مقایسه ای از گسترش اعتبار آتی: امور مالی ساختار یافته در مقابل تامین مالی بدهی مستقیم
عنوان انگلیسی مقاله: A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance
مجله/کنفرانس: مجله امور مالی شرکتی – Journal of Corporate Finance
رشته های تحصیلی مرتبط: حسابداری، مدیریت، اقتصاد
گرایش های تحصیلی مرتبط: حسابداری مالی، مدیریت مالی، اقتصاد مالی
کلمات کلیدی فارسی: قیمت گذاری بدهی، امور مالی ساختاریافته، اوراق قرضه شرکتی، قیمت گذاری اشتباه، هزینه سرمایه گذاری
کلمات کلیدی انگلیسی: Debt pricing; structured finance; corporate bonds; mispricing; cost of funding
نوع نگارش مقاله: مقاله پژوهشی (Research Article)
نمایه: Scopus – Master Journals List – JCR
شناسه دیجیتال (DOI): https://doi.org/10.1016/j.jcorpfin.2020.101580
دانشگاه: Faculty of Economics and Management, Universidade do Porto, Portugal
ناشر: الزویر - Elsevier
نوع ارائه مقاله: ژورنال
نوع مقاله: ISI
سال انتشار مقاله: 2020
ایمپکت فاکتور: 2.752 در سال 2019
شاخص H_index: 83 در سال 2020
شاخص SJR: 1.748 در سال 2019
شناسه ISSN: ۰۹۲۹-۱۱۹۹
شاخص Quartile (چارک): Q1 در سال 2019
فرمت مقاله انگلیسی: PDF
تعداد صفحات مقاله انگلیسی: 82
وضعیت ترجمه: ترجمه نشده است
قیمت مقاله انگلیسی: رایگان
آیا این مقاله بیس است: بله
آیا این مقاله مدل مفهومی دارد: ندارد
آیا این مقاله پرسشنامه دارد: ندارد
آیا این مقاله متغیر دارد: دارد
کد محصول: E14684
رفرنس: دارای رفرنس در داخل متن و انتهای مقاله
فهرست انگلیسی مطالب

Abstract


JEL classification


۱٫ Introduction


۲٫ Literature review and hypotheses


۳٫ Data, methodology, and variable definition


۴٫ The pricing of SF versus CB


۵٫ Do SF transactions reduce originating firms’ cost of funding?


۶٫ Summary and conclusions


Acknowledgements


Appendix A. Distribution of tranches by firm type and year


Appendix B. Descriptive statistics for AS and CB samples


Appendix C. The impact of the financial crisis on pricing characteristics of ABS, MBS, CDO, and CB tranches


Appendix D. Top 10 switchers


References

نمونه متن انگلیسی مقاله

Abstract


This paper examines the pricing of structured finance (SF) – asset-backed securities (ABS), mortgage-backed securities (MBS), and collateralized debt obligations (CDO) – and straight debt finance transactions. Using a cross-section of 24,525 European bonds issued by financial and nonfinancial firms in the 2000-2016 period, we show that although ratings are the most important pricing determinant for SF and corporate bonds (CB) at issuance, investors rely on other contractual, macroeconomic, and firms’ characteristics beyond these ratings. We find that CDO tranches have, on average, higher credit spreads than similarly rated CB, while investors are not compensated for facing higher systematic risk components in relation to investment-grade ABS and MBS. Our results also support the hypothesis of SF transactions as mechanisms of reducing funding costs: SF transactions’ weighted average spread is lower than that of comparable CB and originating firms’ creditworthiness does not deteriorate when compared to a sample of matched firms.


Introduction


Structured Finance (SF), in the form of asset securitization (AS), has become a significant source of financing for a wide variety of assets in recent decades. According to the Securities Industry and Financial Markets Association (SIFMA), the volume of securitized assets in Europe grew from €۷۸٫۲ billion in 2000 to €۸۱۸٫۷ billion in 2008, an increase of 946.9%.1 Despite the important role played by AS in the development and propagation of the 2007-2008 financial turmoil, 2 between 2009 and 2016 a total of €۲,۲۹۰٫۶ billion of securitized instruments were issued in Europe, compared with €۱۱,۷۳۲٫۰ billion in the United States (US). Although financial firms have issued the majority of AS bonds, we show that the issuance of AS bonds by nonfinancial firms located in Europe increased significantly by more than €۳۴٫۰ billion in 2006, before declining to €۱٫۶۵ billion in 2010, in the aftermath of the financial crisis (see Appendix A). AS and corporate bond (CB) markets are the largest security markets for corporate debt financing, both in Europe and the US (Choudhry, 2004; Loutskina, 2011). In this paper we compare credit spreads and pricing of AS bonds – asset backed-securities (ABS), mortgage backed-securities (MBS), and collateralized debt obligations (CDO) – with those of CB in a large sample of bonds (9,217 AS and 15,308 CB) issued by European financial and nonfinancial firms between January 1, 2000 and December 31, 2016. We also examine whether credit spreads convey information beyond credit ratings across AS and CB and if AS transactions allow originating firms to reduce funding costs vis-à-vis CB issuances.

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