CLO Performance
研究了担保贷款凭证（CLO）的表现，发现其权益层因风险调整后的价差获得正超额收益，债务层比同评级公司债回报更高，且封闭式结构使其能抵御市场波动。
ABSTRACT We study the performance of collateralized loan obligations (CLOs) to understand the market imperfections giving rise to these vehicles and their corresponding economic costs. CLO equity tranches earn positive abnormal returns from the risk‐adjusted price differential between leveraged loans and CLO debt tranches. Debt tranches offer higher returns than similarly rated corporate bonds, making them attractive to banks and insurers that face risk‐based capital requirements. Temporal variation in equity performance highlights the resilience of CLOs to market volatility due to their closed‐end structure, long‐term funding, and embedded options to reinvest principal proceeds.