Bank Debt versus Bond Debt: Evidence from Secondary Market Prices
利用贷款每日二级市场价格数据，研究发现贷款违约前贷款二级市场比债券市场信息效率更高，贷款回报能预测债券回报，反之则不成立。
This paper uses a new data set of daily secondary market prices of loans to analyze the specialness of banks as monitors. Consistent with a monitoring advantage of loans over bonds, we find the secondary loan market to be informationally more efficient than the secondary bond market prior to a loan default. Specifically, we find that secondary market loan returns Granger cause secondary market bond returns prior to a loan default. In contrast, secondary market bond returns do not Granger cause secondary market loan returns prior to a loan default.