Cross-Listings and the Dynamics between Credit and Equity Returns

• 成果类型: Article
• 署名作者: Augustin, Patrick; Jiao, Feng; Sarkissian, Sergei; Schill, Michael J.
• 署名单位: McGill University; University of Lethbridge; University of Edinburgh; University of Virginia
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz052
• 发表日期: 2020
• 页码: 112
• 关键词: COMMON RISK-FACTORS; STOCK-PRICE; INTERNATIONAL LISTINGS; MARKET-SEGMENTATION; DEFAULT SWAPS; UNITED-STATES; HOME BIAS; bond; INFORMATION; asset

摘要

We study how listing in multiple markets affects the dynamics between firms' credit default swap (CDS) and stock returns. We find that cross-listing increases (1) the sensitivity of CDS to stock returns, (2) the integration of CDS with world equity and bond markets, and (3) the statistical synchronicity of CDS and stock prices. Our results are stronger for firms with greater media attention, analyst and CDS coverage, and Google search intensity and for listings in familiar markets. We suggest that a firm's presence in global equity markets comes with an improvement in the credit-equity integration through a reduction of informational frictions.