The value of creditor control in corporate bonds

被引：32
|
作者：
Feldhutter, Peter [1 ]
Hotchkiss, Edith [2 ]
Karakas, Oguzhan [2 ]
机构：
[1] London Business Sch, Regents Pk, London NW1 4SA, England
[2] Boston Coll, Carroll Sch Management, Fulton 330,140 Commonwealth Ave, Chestnut Hill, MA 02467 USA
来源：
JOURNAL OF FINANCIAL ECONOMICS | 2016年 / 121卷 / 01期
关键词：
Creditor control; Corporate bonds; Distress; Bankruptcy; CDS; DEFAULT SWAP MARKET; CONTROL RIGHTS; LIQUIDITY RISK; SPREADS; DEBT; GOVERNANCE; ILLIQUIDITY; INVESTMENT; PRICES; EQUITY;
D O I：
10.1016/j.jfineco.2016.03.007
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper introduces a measure that captures the premium in bond prices that is due to the value of creditor control. We estimate the premium as the difference in the bond price and an equivalent synthetic bond without control rights that is constructed using credit default swap (CDS) contracts. We find empirically that this premium increases as firm credit quality decreases and around important credit events such as defaults, bankruptcies, and covenant violations. The increase is greatest for bonds most pivotal to changes in control. Changes in bond and CDS liquidity do not appear to drive increases in the premium. (c) 2016 Elsevier B.V. All rights reserved.
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页码：1 / 27
页数：27
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