Financial Distress, Stock Returns, and the 1978 Bankruptcy Reform Act

• 成果类型: Article
• 署名作者: Hackbarth, Dirk; Haselmann, Rainer; Schoenherr, David
• 署名单位: Boston University; Goethe University Frankfurt; University of London; London Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhv009
• 发表日期: 2015
• 页码: 1810
• 关键词: ABSOLUTE PRIORITY; capital structure; CHAPTER-11; CODE; reorganization; COSTS; FIRMS; RISK; default; RENEGOTIATION

摘要

We study distress risk premia around a bankruptcy reform that shifts bargaining power in financial distress from debtholders to shareholders. We find that the reform reduces risk factor loadings and returns of distressed stocks. The reform effect is stronger for firms with lower firm-level shareholder bargaining power. An increase in credit spreads of riskier relative to safer firms, in particular for firms with lower firm-level shareholder bargaining power, confirms a shift in bargaining power from bondholders to shareholders. Out-of-sample tests reveal that a reversal of the reform's effect leads to a reversal of factor loadings and returns.