TY  - UNPD
A1  - Ai, Hengjie
A1  - Li, Jun
A1  - Li, Kai
A1  - Schlag, Christian
T1  - The collateralizability premium
T2  - SAFE working paper series ; No. 264
N2  - A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. As a result, theory implies a negative collateralizability premium; that is, capital that can be used as collateral to relax financial constraints provides insurance against aggregate shocks and commands a lower risk compensation compared with non-collateralizable assets. We show that a longshort portfolio constructed using a novel measure of asset collateralizability generates an average excess return of around 8% per year. We develop a general equilibrium model with heterogeneous firms and financial constraints to quantitatively account for the collateralizability premium.
T3  - SAFE working paper - 264 
KW  - Cross-Section of Returns
KW  - Financial Frictions
KW  - Collateral Constraint
Y1  - 2019
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/51499
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-514999
IS  - October 9, 2019
PB  - SAFE
CY  - Frankfurt am Main
ER  -