Contingent Capital Trigger Effects: Evidence from Liability Management Exercises
研究了银行通过负债管理操作（LME）改善资本充足率的效果，发现LME集中在低资本化时期，能有效提升银行资本水平，市场反应积极且主要惠及债权人，支持创新负债工具增强银行韧性。
Abstract This paper studies liability management exercises (LME) by banks, which have comparable regulatory capital effects than contingent capital triggers. LMEs are concentrated on low capitalization situations, both in the cross-section and in the time series and are frequently associated with equity issuances. These exercises prove effective at improving bank capitalization levels. The market reaction to LMEs is positive and mostly accrues to debt holders. These findings strengthen the case for innovative liabilities securities as a tool to improve bank resilience. Received February 8, 2019; editorial decision May 16, 2019 by Editor Andrew Ellul. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.