Leveraged buyouts and bond credit spreads

• 成果类型: Article
• 署名作者: Eisenthal-Berkovitz, Yael; Feldhutter, Peter; Vig, Vikrant
• 署名单位: Reichman University; Copenhagen Business School; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.07.007
• 发表日期: 2020
• 页码: 577-601
• 关键词: credit spreads; LBO risk; structural models; leveraged buyouts

摘要

Recent decades have witnessed several waves of buyout activity. We find leveraged buyouts (LBOs) to be a significant concern for bondholders by showing that a) intra-industry credit spreads increase upon an LBO announcement, b) yields on bonds without event risk covenants are, on average, 21 basis points higher than those on same-firm bonds with such covenants, and c) structural models calibrated to historical LBO events imply an impact of 18-21 basis points on 10-year credit spreads. The impact is strongest in expansion periods and for bonds with maturities of 10-20 years. (C) 2019 Elsevier B.V. All rights reserved.