Credit Default Swaps and Firm Cyclicality

被引：1

作者：

Norden, Lars ^{[1
,2
]}

Yin, Chao ^{[3
]}

Zhao, Lei ^{[4
]}

机构：

[1] Getulio Vargas Fdn, Brazilian Sch Publ & Business Adm, Rio De Janeiro, RJ, Brazil

[2] EPGE Brazilian Sch Econ & Finance, Rio De Janeiro, RJ, Brazil

[3] Univ Edinburgh, Business Sch, Edinburgh, Scotland

[4] ESCP Business Sch, Finance Dept, Paris, France

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2025年 / 60卷 / 02期

关键词：

ASSET GROWTH; BAD TIMES; DERIVATIVES; LEVERAGE; RETURNS; EQUITY; DEBT;

D O I：

10.1017/S0022109023001291

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find firm cyclicality decreases by 40% after the inception of credit default swap (CDS) trading. The effect stems from CDS firms' less aggressive asset growth in good times and is stronger for firms facing a more severe empty creditor problem. Important identification issues are addressed. The result cannot be explained with debt overhang, bank lending cyclicality, or the cyclicality of firms' business fundamentals. It holds for the cyclicality of various corporate outcomes (inventories, cash, and employment). Importantly, CDS trading impedes unhealthy growth and enhances profitability and firm value. Our finding indicates an important positive real effect of financial innovation.

引用

页码：1014 / 1041

页数：28

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