Liquidity in the pricing of syndicated loans
We examine whether banks price expected liquidity in US syndicated term loans. Using extensive data we show that loans with higher expected liquidity have significantly lower spreads at origination, controlling for other determinants of loan spreads such as borrower, loan, syndicate and macroeconomic variables. A matched sample analysis confirms our results. We estimate that the pricing of expected liquidity results in annual savings of over $1.6 billion to the borrowers, in our sample alone. For the first time in the literature, we identify what influences the decision of financial intermediaries to make secondary markets for an asset, and the consequent pricing impact of this decision in the primary market.
Year of publication: |
2008
|
---|---|
Authors: | Gupta, Anurag ; Singh, Ajai K. ; Zebedee, Allan A. |
Published in: |
Journal of Financial Markets. - Elsevier, ISSN 1386-4181. - Vol. 11.2008, 4, p. 339-376
|
Publisher: |
Elsevier |
Keywords: | Syndicated loans Loan secondary market Loan pricing Liquidity Loan trading |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Liquidity in the pricing of syndicated loans
Gupta, Anurag, (2008)
-
Liquidity in the Pricing of Syndicated Loans
Gupta, Anurag, (2006)
-
An examination of large sell orders in cold IPO aftermarkets
Krishnan, C.N.V., (2006)
- More ...