Credit default swaps and firm risk

被引：1

作者：

Lin, Hai ^{[1
]}

Nguyen, Binh Hoang ^{[2
]}

Wang, Junbo ^{[3
]}

Zhang, Cheng ^{[4
]}

机构：

[1] Victoria Univ Wellington, Sch Econ & Finance, Wellington, New Zealand

[2] RMIT Univ, Business Sch, Vietnam Campus, Ho Chi Minh City, Vietnam

[3] City Univ Hong Kong, Dept Econ & Finance, Kowloon, Hong Kong, Peoples R China

[4] Univ Denver, Daniels Coll Business, Reiman Sch Finance, Denver, CO USA

来源：

JOURNAL OF FUTURES MARKETS | 2023年 / 43卷 / 11期

关键词：

credit default swap; credit quality; empty creditor; financial constraint; firm value volatility; CROSS-SECTION; ARBITRAGE; EQUITY; DEBT; DERIVATIVES; INVESTMENT; VOLATILITY; LEVERAGE; SPREADS; IMPACT;

D O I：

10.1002/fut.22452

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigates how initiating a credit default swap (CDS) affects firm risk. Using the firm value volatility as a measure of firm risk, we document that firm risk decreases following the commencement of CDS trading. Further analysis indicates that the empty creditor channel, which arises when a debt holder with CDS protection has no interest in preserving the company it provides funds, is the primary way of influence. Our findings reveal a significant impact of financial innovation on a firm's behavior. We also document that market frictions affect the degree of such effect.

引用

页码：1668 / 1692

页数：25

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