Jennie Bai, PhD, Georgetown University, McDonough School of Business

Selected Publications

Security Lending and Corporate Financing: Evidence from Bond Issuance 2023

Co-authors: Massimo Massa and Hong Zhang

The securities lending market allows institutional investors, such as insurance companies, to lend out asset holdings in exchange for cash collateral, an important but understudied source of funding. Since securities lenders are also primary investors in corporate bonds, we hypothesize that their lending preference for certain types of bonds can influence corporate financing policies. Indeed, we observe that a higher lender preference for long-term bonds stimulates firms to issue more such bonds and helps boost bond prices. The analysis exploiting a quasi-experiment supports a causal interpretation.

Safe Asset Shortages: Evidence from the European Government Bond Lending Market

Journal of Financial & Quantitative Analysis, 2021, 56(8), 2689 - 2719
Co-authors: Reena Aggarwal, and Luc Laeven

We identify the unique role of the government bond lending market in accessing safe assets during periods of market stress: collateral transformation.

Is the Credit Spread Puzzle a Myth?

Journal of Financial Economics, 2020, 137, 297-319
Co-authors: Robert Goldstein and Fan Yang

Even though credit spreads on short-maturity investment grade bonds appear “high” given their low historical default rates, these high Sharpe ratios should be interpreted as “fair compensation” for downward jump-risk.