The Market for Borrowing Corporate Bonds
Name
Pathak_The Market.pdf
Size
557.87 KB
Format
Adobe PDF
Checksum (MD5)
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Author(s)
Asquith, Paul
Au, Andreas S.
Covert, Thomas
Pathak, Parag
Date Issued
August 2012
Journal
Journal of Financial Economics
Publisher
Elsevier B.V.
Citation
Asquith, Paul et al. "The market for borrowing corporate bonds." Journal of Financial Economics, Volume 107, Issue 1, January 2013, Pages 155-182.
Version
Author's final manuscript
Abstract
This paper describes the market for borrowing corporate bonds using a comprehensive data set from a major lender. The cost of borrowing corporate bonds is comparable to the cost of borrowing stock, between 10 and 20 basis points, and both have fallen over time. Factors that influence borrowing costs are loan size, percentage of inventory lent, rating, and borrower identity. There is no evidence that bond short sellers have private information. Bonds with Credit Default Swaps (CDS) contracts are more actively lent than those without. Finally, the 2007 Credit Crunch does not affect average borrowing costs or loan volume, but does increase borrowing cost variance.
MIT Department
Massachusetts Institute of Technology. Department of Economics
Sloan School of Management
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike 3.0
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DOI of Published Version
http://www.sciencedirect.com/science/article/pii/S0304405X12001614
https://doi.org/10.1016/j.jfineco.2012.08.007
