A pricing model and empirical analysis of syndicate loan market dominated by big brand banks

本文探討聯貸案中的資訊不對稱現象,是否影響主貸行與借款公司間的訂價行為。由建構理論模型與實證發現，大型銀行會提供持續性的認證效果，並從中剝削好處。本文採用美國聯貸市場1987年-2010年資料進行研究，發現實證結果符合理論預期。We shape a model describing the exploit behavior of reputable lead arranger in syndicate loan, which suggesting that reputable bank ask higher spread when borrower care about the spill-over effect. Then we use the USA syndicate data (1987-2010) to confirm the model. Without controlling the self-selection bias, we find the 1st top tier syndicate loan is usually larger than the borrowers’ prior loan and enjoy less spread charge. Besides, the sequential loans data shows keeping dealing with reputable banks can pouring more money for borrowers. Both evidences support the certification hypothesis. But after controlling the self-selection bias in lender-borrower relationship, our finding confirm the reputable banks’ exploit behavior, especially towards those non-investment grade borrowers who indeed desperate for certification effects. Besides, we also find the certification effect spill over to the borrowers’ sequential deals in syndicate market. As compared to the 1st loan held by top tier arrangers, the borrower can raise more fund either keep dealing with reputable banks or switch to other banks as long as they can endure to pay more spreads