COVID-19 Pandemic and Global Corporate CDS Spreads
| Autor: | Eliza Wu, Miriam Marra, Gaiyan Zhang, Iftekhar Hasan, Thomas Y. To |
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| Rok vydání: | 2021 |
| Předmět: |
History
Economics and Econometrics Leverage (finance) Polymers and Plastics Social distance Corporate governance COVID-19 Financial system Industrial and Manufacturing Engineering Coronavirus Income Support Corporate social responsibility Profitability index Business Business and International Management Volatility (finance) Stock (geology) Finance |
| Zdroj: | Journal of bankingfinance. |
| ISSN: | 0378-4266 |
| Popis: | We examine the impact of the COVID-19 pandemic on the credit risk of companies around the world. We find that increased infection rates affect firms more adversely as reflected by the wider increase in their credit default swap (CDS) spreads if they are larger, more leveraged, closer to default, have worse governance and more limited stakeholder engagement, and operate in more highly exposed industries. We observe that country-level determinants such as GDP, political stability, foreign direct investment, and commitment to crisis management (income support, health and lockdown policies) also affect the sensitivity of CDS spreads to COVID-19 infection rates. A negative amplification effect exists for firms with high default probability in countries with fiscal constraints. A direct comparison between global CDS and stock markets reveals that the CDS market prices in a distinct set of corporate traits and government policies in pandemic times. |
| Databáze: | OpenAIRE |
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