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PLEDGEABILITY AND ASSET
PRICES: EVIDENCE FROM
CHINESE CORPORATE BOND
MARKETS
ZHIGUO HE (何治国)
PROFESSOR OF FINANCE
UNIVERSITY OF CHICAGO, BOOTH SCHOOL OF BUSINESS; AND NBER
JOINT WITH H. CHEN, Z. CHEN, J. LIU AND R. XIE
INTRODUCTION EQUILIBRIUM ASSET PRICES DEPENDS
ON BOTH FUNDAMENTAL AND LIQUIDITY Duffie (2010) presidential address
WHAT EXACTLY IS “LIQUIDITY”? This paper looks at asset pledgeability, i.e., the ability to
be used as collateral to borrow
Study the effect of haircut (or margin; Duffie, 1996;
Garleanu & Pederson, 2010)
WHY CHINESE BOND MARKETS ARE
SUITABLE FOR THIS QUESTION? Same bond traded on two different markets, with different
trading protocols
An unexpected policy shock hit haircuts on one market
sharply
CHINESE BOND MARKETS TWO MARKETS WHERE CORPORATE
BONDS ARE TRADED IN CHINA
Exchange (EX) markets, centralized Repo transactions are done with exchange
Haircuts set uniformly by the exchange, mainly based
on ratings
Interbank (IB) markets, Over-The-Counter based Repo transactions are bilateral
Haircuts set via negotiation, and trading-partner
dependent
LIQUIDITY PREMIUM/DISCOUNT IN
EXCHANGE MARKET Relative to the interbank market, for the same bond
The higher the rating, the higher the premium
SUMMARY OF RESULTS
DEC 8TH, 2014, THE EXCHANGE MARKET RAISE
HAIRCUT OF SOME BONDS
Bonds with ratings AA+ and AA were affected
Policy largely as a surprise
EVENT STUDY OF EXCHANGE MARKET PREMIA
Treatment group (AA+, AA) down
While AAA (higher rating) and AA- (lower rating) flat or up
ESTIMATE HOW PLEDGEABILITY AFFECTS
ASSET PRICES, USING POLICY SHOCK AS IV
Using exchange premium, likely underestimate
Using spread over matched-AAA but otherwise similar bonds (in
pledgeability and yield). Likley overestimate
PLEDGEABILITY AND ASSET PRICING
DUFFIE (1996)
Borrowing rate 𝑅 using general collaterals (normalized price 1)
Some “special” collateral, with a lower financing rate 𝑟 < 𝑅
The equilibrium price 𝑃 =1+𝑅
1+𝑟≈ 1 + 𝑅 − 𝑟 > 1
𝑅 − 𝑟 > 0 is a particular form of convenience yield (or,
negative carrying cost)
A SIMPLE FRAMEWORK
Collateralized borrowing rate 𝑟 with normalized price 1
Uncollateralized borrowing rate 𝑅 > 𝑟; and haircut ℎ
Then similar argument yields 𝑃 =1+𝑟
1+ 1−ℎ 𝑟+ℎ𝑅≈ 1 − ℎ 𝑅 − 𝑟
The equilibrium price decreases with the haircut ℎ
Carrying cost ℎ 𝑅 − 𝑟 increasing in haircut ℎ
THE RAPID DEVELOPMENT OF CHINESE BOND MARKETS
0%
50%
100%
150%
200%
250%
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Bond Outstanding as % of GDP
US Bond/GDP % China Bond/GDP %
0%
50%
100%
150%
200%
250%
300%
2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Bond Outstanding as % of Stock Market Capitalization
US Bond/Stock % China Bond/Stock %
• Ranked the third after US and Japan in 2017
TWO BOND MARKETS IN CHINA
COEXISTENCE OF EXCHANGE MARKET AND
INTERBANK MARKET
Exchange market was dominating before 1997
But bond repo transactions helped fuel the stock market boom
during the first half of 1997
June 1997, PBOC pushed all commercial banks to the newly
established interbank market
TWO SEPARATE MARKETS UNTIL 2005
Corporation bonds on exchange market while enterprise
bonds on interbank market
Starting 2005, led by NDRC, exchange market offers access
for enterprise bonds (issued by SOEs)
Most of enterprise bonds are dual-listed (more than 90%)
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
0
100
200
300
400
500
600
700
2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Du
al-lis
ted
fractio
nE
nte
rpri
se b
on
d issu
an
ce (
bil
lio
n R
MB
)
The Fraction of Dual-listed Enterprise Bond Issuance
All Dual-listed Dual-listed %
OUR SAMPLE: DUAL-LISTED
ENTERPRISE BONDS
SEGMENTED MARKETS
EXCHANGE VS INTERBANK
BOND MARKET LIQUIDITY: CHINA VS US
Mechanism Trade Size Trading
FrequencyParticipants
Exchange Order-driven Small HighMutual funds; security firms;
insurance; retails
Interbank Quote-driven Large Low
Banks; rural credit unions;
mutual funds; security firms;
insurance
China: Interbank China: Exchange US*
ZDays 0.8886 0.8133 0.7882
ZDays_w/trade 0.8877 0.7980 0.7094
Turnover 0.0121 0.0010 0.0015
Turnover_w/trade 0.1205 0.0077 0.0070
Amihud 0.0002 2.5423 0.4881
SEGMENTED MARKETS
(LIMITS TO) ARBITRAGE
Buying a security in one market and selling in the other
requires the application for transfer of depository
Lengthy process: 3 days for enterprise bonds (1 day for
Treasuries) from exchange market to interbank market
And a bit harder for IBEX
EXCHANGE PREMIUM
WE FOCUS ON DUAL-LISTED BONDS Sample period: 06/09/2014 to 06/08/2015
Calculate credit spreads based on transaction prices
Credit ratings: AAA, AA+, AA, and AA-
EXCHANGE PREMIUM: IB SPREAD – EX SPREAD
0.41%
0.15%
0.03%
-0.26%
-0.30%
-0.15%
0.00%
0.15%
0.30%
0.45%
0.60%
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
4.00%
AAA AA+ AA AA-
EX
pre
miu
mc
red
it s
pre
ad
IB and EX credit spread, 6/9/2014-12/8/2014
IB spread EX spread IB-EX, EX premium
RATING-BASED PLEDGEABILITY REPO ARE POPULAR IN BOTH MARKETS
In exchange market, investors can borrow directly from the
exchange (the central counterparty) according to the bond’s
published “pledgeability”
In interbank market, terms are determined by bilateral bargaining
PLEDGEABILITY IN EX MARKET Borrowing capacity quoted as a fraction of bond face value, when
using the bond as collateral
Pledgeability largely depends on credit ratings, besides volatility,
turnover, etc Rating explains 81.4% of variation in pledgeability
…while a kitchen-sink approach explains 82.0%
HIGH RATING BONDS ENJOY EXCHANGE PREMIA The ease of repo transactions in exchange market (the counterpart
is always there!)
Transparency in the ability to obtain collateralized borrowing
EVENT: DEC 8TH, 2014 BACKGROUND (CHEN, HE, & LIU, 2017)
2009 stimulus funded by massive local government debt
Rapid growth of Municipal Corporate Bonds (MCB) in 2012-2013
MCB is a form of enterprise bonds, largely dual-listed
In 2014 regulators started several rounds of coordinated effort in
curbing the local government debt problem
E.g., swap program (swap between MCB and municipal bonds)
NIGHT OF DEC 8TH, 2014, EXCHANGE MARKET
Cutting pledgeability of AA+ and AA rated enterprise bonds to ZERO!
INTERESTING POLICY SHOCK
Exchange market is not the main gate-keeper/regulator of MCB, but
took an unexpected aggressive move
Significant market reactions (next slide)!
As usual, blunt policy tools depending on coarse credit ratings
HAIRCUT ACROSS RATINGS DURING EVENT
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Haircut of Dual-Listed Bonds across Ratings
AAA AA+ AA AA-
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
5.0%
Credit Spreads of Dual-listed Bonds: EX Market
AAA AA+ AA AA-
YIELD SPREADS ACROSS RATINGS DURING EVENT
YIELD SPREADS ACROSS RATINGS DURING EVENT
0.5%
1.0%
1.5%
2.0%
2.5%
3.0%
3.5%
4.0%
4.5%
Credit Spreads of Dual-listed Bonds: IB Market
AAA AA+ AA AA-
EXCHANGE PREMIA
0.41%
0.15%
0.03%
-0.26%
-0.30%
-0.15%
0.00%
0.15%
0.30%
0.45%
0.60%
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
4.00%E
X p
rem
ium
cre
dit
sp
rea
dIB and EX credit spreads, pre event
0.14%
-0.17%-0.26%
-0.06%
-0.30%
-0.15%
0.00%
0.15%
0.30%
0.45%
0.60%
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
4.00%
AAA AA+ AA AA-
EX
pre
miu
m
cre
dit
sp
rea
d
IB and EX credit spreads, post event
IB spread EX spread IB-EX, EX premium
FIRST CUT OF DIFF-IN-DIFF RESULT Dual-listed & within-two-day-window trading fundamental is fully controlled
Across ratings, treatment and control groups
CONVINCING WITH TWO CONTROL GROUPS AAA is with lower credit risk, while AA- is higher
Rule out “macro shocks and lower-rating bonds are just more sensitive”
EX PREMIUM DURING EVENT (1)
-0.4%
-0.3%
-0.2%
-0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
(-45,-27] (-27,-9] (-9,0) (0,9] (9,27] (27,45]
EX premia across ratings, sample with two-day-window trading
HighRating (AAA) MidRating (AA+&AA) LowRating (AA-)
EX PREMIUM DURING EVENT (2)
DIFF-IN-DIFF RESULT WITH CONTROLS
For bond 𝑖 at date 𝑡, define 𝐼𝑖,𝑡𝑗,𝑇
= 1 if its rating is 𝑗 ∈
𝐴𝐴𝐴,𝐴𝐴+,𝐴𝐴, 𝐴𝐴−, at 𝑡 ∈ 𝑇, 0 otherwise
Controls include:
Bond level characteristics: Coupon, Leverage, Size, Time to
maturity, Turnover ratio
Macro factors: Term Spread, SHIBOR, CDB Spot, Stock
Market Index
/ ,
, , , , ,
,
IB EX j T
i t j T i t i t i t
j T
s k I controls
EX PREMIA DURING EVENT (3)
F-test statistics on difference in coefficients between (-9,0) and (0,9]:Control vs Treat: F=5.51; p-value: 0.01 (one-side) High vs. Mid: F=2.59; p-value=0.05 Low vs Mid: F=3.92; p-value=0.03
-0.4%
-0.3%
-0.2%
-0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
0.5%
(-45,-27] (-27,-9] (-9,0) (0,9] (9,27] (27,45]
EX premia, with control, dual-listed and within-two-day window trading
HighRating (AAA) MidRating (AA+&AA) LowRating (AA-)
IV ESTIMATE OF THE EFFECT OF PLEDGEABILITY
INSTRUMENTAL VARIABLE:
𝑆ℎ𝑜𝑐𝑘𝑖,𝑡 =1 for bond 𝑖 at date 𝑡 if its rating ∈ 𝐴𝐴+, 𝐴𝐴 and 𝑡 is after
Dec 8th, 2014; zero otherwise
USUAL TWO-STAGE STEPS First stage, regress pledgebility rate on shocks
Second stage, regress EX premia on fitted pledgeability
Similar control variables as before Bond level characteristics: Coupon, Leverage, Size, Time to maturity,
Turnover ratio
Macro factors: Term Spread, SHIBOR, CDBSpot, Stock Market Index
SAMPLE: DUAL-LISTED AND WITHIN-TWO-DAY-
WINDOW TRADING IN TWO MARKETS
Same-day trading sample as robustness check
*Clustered by Bond and Year-Week
FIRST STAGEDependent Var:
Haircut
(1) (2) (3) (4) (5) (6)
Full AA+ & AA AA+ AA
Shock 0.719*** 0.440*** 0.722*** 0.696*** 0.777*** 0.631***
(58.442) (8.885) (59.416) (31.931) (24.146) (26.409)Maturity -0.038 0.012 0.025 -0.009
(-0.336) (0.209) (0.226) (-0.148)
Turnover Ratio -0.064* -0.031 -0.059* -0.020
(-1.914) (-1.549) (-1.705) (-0.850)
Size -0.060 0.034 0.035 0.042
(-0.600) (0.711) (0.390) (0.821)
Leverage 0.509 -0.430 0.080 -0.568
(1.342) (-1.488) (0.245) (-1.501)
CDBSpot -8.822*** -1.520 0.610 -2.369*
(-2.985) (-1.373) (0.352) (-1.817)
Term Spread -0.066 0.711 0.312 0.940
(-0.026) (0.801) (0.334) (0.771)
SHIBOR 7.636*** -0.104 -0.086 0.264
(4.916) (-0.171) (-0.127) (0.332)
Stock Index 15.078*** 1.450 0.912 2.111
(3.812) (1.010) (0.462) (1.191)
FE_bond Yes Yes Yes Yes Yes Yes
N 9614 9503 8048 7975 2995 4980
R-sq 0.879 0.922 0.964 0.964 0.963 0.970
*Clustered by Bond and Year-Week
SECOND STAGEDependent Var:
EX premium
(1) (2) (3) (4) (5) (6)
Full AA+ & AA AA+ AA
Haircut -0.003*** -0.005*** -0.003*** -0.002** -0.003** -0.001
(-6.847) (-3.871) (-7.001) (-2.134) (-2.084) (-1.331)Maturity 0.002 0.000 0.001 -0.000
(0.763) (0.075) (0.338) (-0.074)
Turnover Ratio 0.001 0.001 0.000 0.002
(0.887) (0.854) (0.069) (1.226)
Size -0.001 -0.000 -0.000 -0.000
(-0.695) (-0.076) (-0.062) (-0.032)
Leverage 0.008 0.004 0.004 0.005
(1.621) (0.664) (0.347) (0.558)
CDBSpot -0.113 -0.046 0.024 -0.091
(-1.663) (-0.894) (0.338) (-1.629)
Term Spread -0.003 -0.033 0.063 -0.083
(-0.066) (-0.630) (0.739) (-1.410)
SHIBOR 0.059* 0.005 0.038 -0.017
(1.865) (0.166) (0.936) (-0.464)
Stock Index 0.097 -0.076 0.045 -0.147**
(1.471) (-1.411) (0.525) (-2.349)
FE_bond Yes Yes Yes Yes Yes Yes
N 9614 9503 8048 7975 2995 4980
R-sq 0.474 0.474 0.465 0.470 0.349 0.536
IV ESTIMATE OF THE EFFECT OF PLEDGEABILITY
OUR ESTIMATE BASED ON IB/EX SPREAD
IS LIKELY TO BE DOWNWARD BIASED
The IB prices of bonds hit by EX policy are affected as
well due to potential arbitrage, over-controlling
ANOTHER ESTIMATE BASED ON MATCHED
AAA EXCHANGE BONDS
AAA bonds with the same pledgeability and yield spread;
but free of policy shock
Note: no longer traded simultaneously on both markets
*Clustered by Bond and Year-Week
SECOND STAGEDependent Var:
(Spread of matched AAA-
Spread of the bond)
(1) (2) (3) (4)
AA+ & AA AA+ AA
Haircut -0.008*** -0.006*** -0.006*** -0.006***
(-16.962) (-6.593) (-5.858) (-4.778)Maturity 0.002 0.001 0.004
(0.856) (0.404) (1.238)
Turnover Ratio 0.011* 0.011 0.011
(1.960) (1.612) (1.196)
Size -0.005*** -0.007*** -0.003
(-2.910) (-3.058) (-1.084)
Leverage -0.023*** -0.018*** -0.029***
(-4.043) (-2.851) (-3.143)
CDBSpot 0.012 -0.001 0.055
(0.225) (-0.026) (0.657)
Term Spread 0.107 0.066 0.182*
(1.200) (0.680) (1.879)
SHIBOR -0.087** -0.086** -0.089*
(-2.556) (-2.453) (-1.987)
Stock Index -0.008 -0.054 0.072
(-0.104) (-0.697) (0.685)
FE_bond Control Control Control Control
N 16735 16611 10612 5995
R-sq 0.677 0.687 0.667 0.710
IV ESTIMATE OF THE EFFECT OF PLEDGEABILITY
ECONOMIC MAGNITUDE 1% of pledgeability translates to ~0.6 bps of yield change,
about 3.7 cents price change for an average dual-listed bond
SENSITIVITY TABLE Price change given an X% change in pledgeability for Y year
maturity
Yield: 6.45%, coupon rate: 6.62%, face value: 100
5% 20% 40%
5 Y 0.13 0.50 1.00
10 Y 0.22 0.87 1.74
20 Y 0.34 1.35 2.69
Magnitude = 0.6 bps
5% 20% 40%
5 Y 0.10 0.42 0.84
10 Y 0.18 0.73 1.45
20 Y 0.28 1.12 2.24
Magnitude = 0.5 bps
5% 20% 40%
5 Y 0.17 0.67 1.34
10 Y 0.29 1.16 2.32
20 Y 0.45 1.79 3.59
Magnitude = 0.8 bps
CONCLUSION DOCUMENT CAUSAL EFFECT OF PLEDGEABILITY
ON ASSET PRICES Dual-list bonds, free of fundamental concerns
Differential reactions based on ratings
QUANTIFY THE EFFECT OF ASSET
PLEDGEABILITY First paper (to our knowledge) to estimate the effect of pledgebality
on asset prices
20% of pledgeability translates to ~12 bps of yield change, about 74
cents of price decrease for an average dual-listed bond.
For a 10-year bond, the price change is even larger at 87 cents
CHINESE BOND MARKETS ARE AT LEAST
EQUALLY INTERESTING COMPARED TO US BOND
MARKET
BOND MARKET LIQUIDITY COMPARISON BETWEEN US AND CHINA
CHINA AND US BOND MARKET LIQUIDITY
China: Interbank China: Exchange US*
ZDays 0.8886 0.8133 0.7882
ZDays_w/trade 0.8877 0.7980 0.7094
Turnover 0.0121 0.0010 0.0015
Turnover_w/trade 0.1205 0.0077 0.0070
Amihud 0.0002 2.5423 0.4881
*US bond liquidity measures are for the period of 01/01/2010 to 12/31/2014 from
Andersen and Stultz (2017)
INTERBANK AND EXCHANGE ENTERPRISE BONDS
Interbank Exchange
ZDays 0.9005 0.9001
ZDays_w/trade 0.8988 0.8996
Turnover 0.0105 0.0100
Turnover_w/trade 0.1198 0.1146
Amihud 0.0004 0.0003
SAMPLE COVERAGE SMALL WITHIN-TWO-DAY BOND-DAY SAMPLE COVERAGE
OVER DUAL-LISTED ENTERPRISE BONDS
All AAA AA+ AA AA-
Exchange 13.3% 6.3% 11.3% 17.2% 14.3%
Interbank 23.5% 18.4% 29.6% 20.1% 35.4%
SMALL WITHIN-TWO-DAY BOND SAMPLE COVERAGE OVER
DUAL-LISTED ENTERPRISE BONDS
All AAA AA+ AA AA-
Exchange 64.4% 45.7% 64.8% 69.8% 59.8%
Interbank 51.7% 43.5% 54.0% 53.2% 46.3%
EXCHANGE PREMIUM-ROBUSTNESS
WE FOCUS ON DUAL-LISTED BONDS Sample period: 06/09/2014 to 06/08/2015
Calculate credit spreads based on transaction prices
Credit ratings: AAA, AA+, AA, and AA-
EXCHANGE PREMIUM: IB SPREAD – EX SPREAD
0.40%
0.15%
0.02%
-0.23%
-0.30%
-0.15%
0.00%
0.15%
0.30%
0.45%
0.60%
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
4.00%
AAA AA+ AA AA-
EX
pre
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it s
pre
ad
IB and EX credit spread, 6/9/2014-12/8/2014
IB spread EX spread IB-EX, EX premium
EXCHANGE PREMIA-ROBUSTNESS
0.40%
0.15%
0.02%
-0.23%
-0.30%
-0.15%
0.00%
0.15%
0.30%
0.45%
0.60%
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
4.00%E
X p
rem
ium
cre
dit
sp
rea
dIB and EX credit spreads, pre event
0.13%
-0.18%-0.27%
-0.07%
-0.30%
-0.15%
0.00%
0.15%
0.30%
0.45%
0.60%
-2.00%
-1.00%
0.00%
1.00%
2.00%
3.00%
4.00%
AAA AA+ AA AA-
EX
pre
miu
m
cre
dit
sp
rea
d
IB and EX credit spreads, post event
IB spread EX spread IB-EX, EX premium
-0.5%
-0.4%
-0.3%
-0.2%
-0.1%
0.0%
0.1%
0.2%
0.3%
0.4%
(-45,-27] (-27,-9] (-9,0) (0,9] (9,27] (27,45]
EX Premia across ratings, sample with same-day trading
HighRating (AAA) MidRating (AA+&AA) LowRating (AA-)
EVENT
FIRST CUT OF DIFF-IN-DIFF RESULT Dual-listed and same-day trading fundamental is fully controlled
Across ratings, treatment and control groups
CONVINCING WITH TWO CONTROL GROUPS AAA is with lower credit risk, while AA- is higher
Rule out “macro shocks and lower-rating bonds are just more sensitive”
EX PREMIUM DURING EVENT-ROBUSTNESS TEST
EX PREMIA DURING EVENT WITH CONTROLS - ROBUSTNESS TEST
-0.6%
-0.4%
-0.2%
0.0%
0.2%
0.4%
0.6%
(-45,-27] (-27,-9] (-9,0) (0,9] (9,27] (27,45]
EX Premia, with control, dual-listed and same-day trading
HighRating (AAA) MidRating (AA+&AA) LowRating (AA-)
EVENT
*Clustered by Bond and Year-Week
FIRST STAGE-ROBUSTNESSDependent Var:
Haircut
(1) (2) (3) (4) (5) (6)
Full AA+ & AA AA+ AA
Shock 0.734*** 0.420*** 0.738*** 0.738*** 0.806*** 0.676***
(49.438) (7.410) (51.350) (34.633) (25.922) (41.060)Maturity -0.068 -0.014 0.051 -0.045
(-0.483) (-0.201) (0.342) (-0.710)
Turnover Ratio -0.082** -0.042 -0.041 -0.034
(-2.231) (-1.631) (-0.854) (-1.122)
Size -0.168 -0.028 0.005 -0.047
(-1.543) (-0.531) (0.045) (-1.447)
Leverage 0.825* -0.178 0.119 -0.319
(1.991) (-0.581) (0.328) (-0.870)
CDBSpot -9.257*** -1.663 0.744 -2.713
(-2.693) (-1.241) (0.358) (-1.533)
Term Spread -0.391 -0.091 0.381 0.379
(-0.134) (-0.087) (0.288) (0.266)
SHIBOR 8.777*** -0.965* -0.578 -0.987
(4.809) (-2.008) (-0.987) (-1.498)
Stock Index 16.793*** -1.273 0.934 -1.361
(3.469) (-0.836) (0.315) (-1.083)
FE_bond YES YES YES YES YES YES
N 3080 3050 2535 2514 943 1571
R-sq 0.866 0.927 0.971 0.971 0.967 0.979
*Clustered by Bond and Year-Week
SECOND STAGE-ROBUSTNESSDependent Var:
EX premium
(1) (2) (3) (4) (5) (6)
Full AA+ & AA AA+ AA
Haircut -0.003*** -0.006*** -0.004*** -0.003** -0.006*** -0.001
(-5.414) (-3.405) (-5.601) (-2.651) (-3.428) (-0.935)Maturity -0.001 -0.002 0.000 -0.003
(-0.358) (-0.791) (0.079) (-1.189)
Turnover Ratio 0.000 0.001 -0.000 0.001
(0.338) (0.376) (-0.017) (0.797)
Size -0.001 -0.000 0.002 -0.002
(-0.634) (-0.050) (0.370) (-0.575)
Leverage 0.009 0.002 0.005 0.003
(1.432) (0.265) (0.386) (0.210)
CDBSpot -0.118 -0.071 -0.018 -0.092
(-1.536) (-1.225) (-0.202) (-1.472)
Term Spread -0.015 -0.066 -0.016 -0.088
(-0.248) (-1.102) (-0.146) (-1.246)
SHIBOR 0.057* 0.025 0.114** -0.032
(1.767) (0.706) (2.328) (-0.777)
Stock Index 0.034 -0.103* 0.099 -0.237***
(0.401) (-1.875) (0.960) (-3.168)
FE_bond YES YES YES YES YES YES
N 3080 3050 2535 2514 943 1571
R-sq 0.520 0.521 0.501 0.504 0.358 0.599
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