An Experimental Analysis of Contingent Capital with Market‐Price Triggers
通过实验比较三种基于市场价格的或有资本债券转换触发机制，发现固定触发和监管者机制存在效率低下和转换错误，预测市场机制略有改善但问题仍存。
We report an experiment that evaluates three market‐based regimes for triggering the conversion of contingent capital bonds into equity: a “fixed‐trigger” regime, where a price threshold triggers mandatory conversion; a “regulator” regime, where regulators make conversion decisions based on prices; and a “prediction market” regime, where regulators also observe a market that predicts conversion. Consistent with theory, we observe inefficiencies and conversion errors in the fixed‐trigger and regulator regimes. The prediction market somewhat improves the regulator's performance, but inefficiencies and conversion errors persist. The regulator regime has conversion errors over the widest range of shocks.