The Collateralizability Premium
研究发现可抵押资产因能缓解融资约束而具有较低风险补偿，基于新构建的可抵押性指标的多空组合年均超额收益约8%，并用一般均衡模型解释了这一溢价。
Abstract A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. Theory suggests a negative collateralizability premium; that is, capital that can be used as collateral to relax financial constraints insures against aggregate shocks and commands a lower risk compensation compared with noncollateralizable assets. We show that a long-short portfolio constructed using a novel measure of asset collateralizability generates an average excess return of around 8% per year. We develop a general equilibrium model with heterogeneous firms and financial constraints to quantitatively account for the collateralizability premium.