What Does the Yield on Subordinated Bank Debt Measure?
What Does the Yield on Subordinated Bank Debt Measure?
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次级银行债务的收益率衡量什么？
DOI：
10.2139/ssrn.559527
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发表时间：
2004
期刊：
影响因子：
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通讯作者：
Urs W. Birchler
中科院分区：
文献类型：
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作者：
D. Hancock;Urs W. Birchler
我们提供的证据表明，银行的次级债券收益率差本身并不足以衡量违约风险。我们使用的模型中，次级债券持有的投资者具有上级知识（知情投资者）。首先，我们表明，在理论上，次级债券的收益率差必须补偿投资者的预期损失，并给他们一个激励，不喜欢优先债务。其次，我们提出了强有力的实证证据，有利于知情的投资者假说和存在的激励溢价模型预测。利用1985-2002年美国大型银行机构发行公共债务的时间和定价数据，我们发现，银行在好的时候发行相对更多的次级债务，即当知情的投资者有好消息时。发行点差（样本选择偏差修正）对（上级）私人信息和公共信息做出反应，与假设的激励溢价的比较静态一致。有趣的是，正如模型所预测的那样，在引入即时纠正措施和存款人偏好改革后，成熟的投资者信息对次级收益率利差的影响变得较弱，而公众风险感知的影响变得更强。最后，我们的模型解释了从次级债利差的实证文献和市场访谈（例如有限的敏感性，银行特定的风险和膨胀的利差在坏的时候）的异常。我们的结论是，一家银行的次级利差传达重要的信息，如果解释与其高级利差和其他银行的次级利差。
We provide evidence that a bank's subordinated debt yield spread is not, by itself, a sufficient measure of default risk. We use a model in which subordinated debt is held by investors with superior knowledge (informed investor). First, we show that in theory the yield spread on subordinated debt must compensate investors for expected loss plus give them an incentive not to prefer senior debt. Second we present strong empirical evidence in favor of the informed investor hypothesis and of the existence of the incentive premium predicted by the model. Using data on the timing and pricing of public debt issues made by large U.S. banking organizations during the 1985-2002 period, we find that banks issue relatively more subordinated debt in good times, i.e. when informed investors have good news. Spreads at issuance (corrected for sample selection bias) react to (superior) private and to public information, in line with the comparative statics of the postulated incentive premium. Interestingly, as the model predicts, the influence of sophisticated investors' information on the subordinated yield spread became weaker after the introduction of prompt corrective action and depositor preference reforms, while the influence of public risk perception grew stronger. Finally, our model explains anomalies from the empirical literature on subordinated debt spreads and from market interviews (e.g. limited sensitivity to bank-specific risk and the ballooning of spreads in bad times). We conclude that a bank's subordinated yield spread conveys important information if interpreted together with its senior spread and with other banks' subordinated yield spreads.