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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/63660


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63660


    Title: Is Recovery Risk Priced in Debt Contracts? The Roles of Bank Regulation, Corporate Governance and Credit Rating
    Authors: Wenchien Liu, Peter Miu,Yuanchen Chang,Bogie Ozdemir
    Contributors: Department of Finance National Chengchi University,DeGroote School of Business McMaster University,Department of Finance National Chengchi University,BMO Financial Group
    Keywords: Recovery risk;Debt contracts;Bank regulation;Corporate governance;Credit rating
    Date: 2009-12-01
    Issue Date: 2013-08-07 09:23:29 (UTC+8)
    Publisher: Department of Finance National Chengchi University,DeGroote School of Business McMaster University,Department of Finance National Chengchi University,BMO Financial Group
    Abstract: We investigate whether recovery risk has affected the spread of debt contacts in
    the U.S. market. Using the actual realized recovery rates of defaulted debt
    instruments, we find that recovery risk is associated with the price of debt contracts,
    and this relationship is stronger for non-investment grade and weak corporate
    governance firms and more significant after commercial banks were allowed to
    participate in the underwriting business. We also control for endogeneity, potential
    omitted variables, individual effect for bank loans and corporate bonds, and model
    specification issues. Our results indicate that information asymmetry, market
    efficiency and legislative regime are important determinants for this pricing
    relationship.
    Relation: 2010中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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