Pledgeability and Asset Prices: Evidence from the Chinese Corporate Bond Markets
利用中国公司债券市场同一债券在两个分割市场交易且回购规则不同的特点，研究政策冲击导致AA+和AA级债券在一个市场失去回购资格后，债券收益率上升39至85个基点，揭示了资产可质押性的价值。
ABSTRACT We provide causal evidence on the value of asset pledgeability by exploiting a unique feature of Chinese corporate bond markets: bonds with identical fundamentals are traded on two segmented markets with different rules for repo transactions. Using a policy shock that rendered AA+ and AA bonds ineligible for repo on one market only, we compare how bond prices changed across markets and rating classes around this event. When the haircut increases from 0% to 100%, bond yields increase by 39 bps to 85 bps. These estimates help us infer the magnitude of the shadow cost of capital in China.