Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983–1991
分析1983-1991年次级债券收益率，发现投资者能理性区分美国大银行的风险差异，并反映政府损失吸收政策的变化，但市场纪律能否有效控制银行行为尚无定论。
ABSTRACT We examine debenture yields over the period 1983–1991 to evaluate the market's sensitivity to bank‐specific risks, and conclude that investors have rationally reflected changes in the government's policy toward absorbing private losses in the event of a bank failure. Although this evidence does not establish that market discipline can effectively control banking firms, it soundly rejects the hypothesis that investors cannot rationally differentiate among the risks undertaken by the major U.S. banking firms.