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The Collateralizability Premium
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DOI：10.1093/rfs/hhaa063.png)
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A common prediction of macroeconomic models of credit market frictions is that the tightness of financial constraints is countercyclical. Theory suggests a negative collateralizability premium; that is, capital that can be used as collateral to relax financial constraints insures against aggregate shocks and commands a lower risk compensation compared with noncollateralizable assets. We show that a long-short 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.
Keyword:
CROSS-SECTION
FINANCIAL CONSTRAINTS
LONG-RUN
ASSET
RISK
GROWTH
INVESTMENT
RETURNS
MODEL
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