Credit Default Swaps around the World

• 成果类型: Article
• 署名作者: Bartram, Sohnke M.; Conrad, Jennifer; Lee, Jongsub; Subrahmanyam, Marti G.
• 署名单位: University of Warwick; Centre for Economic Policy Research - UK; University of North Carolina; University of North Carolina Chapel Hill; New York University; New York University; NYU Shanghai
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab092
• 发表日期: 2022
• 页码: 2464
• 关键词: CORPORATE GOVERNANCE; sensitivity-analysis; Investor protection; debt; derivatives; RISK; ENFORCEMENT; equity; LAW

摘要

We analyze the impact of the introduction of credit default swaps (CDSs) on real decision-making within the firm. Our structural model predicts that CDS introduction increases debt capacity more when uncertainty about the credit events that trigger CDS payment is lower. Using a sample of more than 56,000 firms across 51 countries, we find that CDSs increase leverage more in legal and market environments where uncertainty about CDS obligations is reduced and when property rights are weaker. Our results highlight the importance of legal uncertainty in the interpretation of the underlying trigger events of global credit derivatives.