Bank credit tightening, debt market frictions, and corporate yield spreads

被引:1
作者
Massa, Massimo [1 ]
Zhang, Lei [2 ]
机构
[1] INSEAD, Finance Dept, Blvd Constance, F-77300 Fontainebleau, France
[2] City Univ Hong Kong, Coll Business, Dept Econ & Finance, Hong Kong, Peoples R China
关键词
Bank credit tightening; Debt inflexibility; Lending standards; Yield spreads; MONETARY-POLICY; DISTANCE; DETERMINANTS; CONSTRAINTS; INVESTMENT; LIQUIDITY;
D O I
10.1016/j.finmar.2020.100603
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We study how credit supply frictions in the regional availability of debt financing in the U.S. affect corporate yield spreads. We define a measure of debt inflexibility that captures the firm's inability to buffer a tightening in bank credit by replacing bank loans with corporate bonds. We document that more inflexible firms suffer a higher increase in yield spreads as bank credit tightens. This happens for both market-wide tightening in lending standards and firm-specific tightening upon loan covenant violations. Moreover, inflexible firms display a closer connection between changes in yield spreads and stock returns. (c) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页数:21
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