مقاله انگلیسی رایگان در مورد آیا حجم معاملات اوراق حاوی اطلاعاتی در مورد وام های غیرفعال است؟ – الزویر 2021

 Abstract

Keywords

JEL classification

1. Introduction

2. Institutional framework and motivating factors

3. Conceptual framework and literature review

4. Hypothesis development

5. Data and methodology

6. Results

7. Conclusion

Data availability statement

Funding details and disclosure statement

Declaration of competing interest

Acknowledgment

Appendix A. Supplementary data

References

Vitae

Abstract

We investigate the relationship between the transactional activity of asset management companies (AMCs) in the non-performing loan (NPL) market and their corresponding debt issuances in a niche bond market in Borsa Istanbul. We analyze the determinants of the trading volume of AMC bonds to determine whether an issue’s volume can reflect bond-specific factors after controlling for firm-specific information. We employ pooled ordinary least squares and random effects panel data regressions on a monthly data set of 26 bonds traded between 2012 and 2019. We find that higher trading volume is associated with larger issues, older bonds, and issuers of long-term debt only. These results suggest that the trading volumes of such bonds decrease when NPL transactions become rare due to worsening economic and financial conditions, at which point the investor demand for new issuances declines and the AMCs are forced to issue short-term debt instead to raise funds.

1. Introduction

Asset management companies (AMCs) help banks free their balance sheets of non-performing loans (NPLs) so that banks can lend more to households and businesses and hence improve their profitability and induce economic growth by facilitating funding mechanisms. Much of the research has focused on the role of AMCs in solving the NPL problem in various countries. For instance, Fell et al. (2017) argue that the pile of NPLs in the European Union, as a financial stability issue, may be effectively resolved with the contribution of state-owned (centralized) and/or privately held (decentralized) AMCs. However, national cases1 show that there is no one-size-fits-all model for AMCs; rather, the best solution often satisfies system-specific issues.

Turkish banking regulations offer a dual approach for managing NPLs: (1) a centralized approach followed by the government and (2) a decentralized approach followed by the private sector. On the government side, the Savings Deposit Insurance Fund (SDIF)—a public legal entity with administrative and financial autonomy—aids in the resolution of banks in distress. In the private sector, banks and even the SDIF itself are entitled to sell NPLs to AMCs established as joint stock corporations. Turkish AMCs have been involved in the NPL business since 2006, when legislation regarding the foundation and operations of AMCs was enacted. Although the number of selling transactions and AMCs has increased over the years, the dynamics in the secondary NPL market have attracted little attention from the research community. What is more interesting is that AMCs have become leading corporate bond issuers in order to finance their NPL purchases, and a niche market has developed to cater to the investment needs of qualified investors who wish to trade these bonds in Borsa Istanbul since 2012. The emergence of this new habitual mode of finance calls for an empirical investigation on the liquidity of the bonds issued by AMCs, which would also shed light on its association with secondary NPL activity.