Spillovers from good-news and other bankruptcies: Real effects and price responses

• 成果类型: Article
• 署名作者: Baranchuk, Nina; Rebello, Michael J.
• 署名单位: University of Texas System; University of Texas Dallas
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.03.004
• 发表日期: 2018
• 页码: 228-249
• 关键词: Restructuring; distress; spillover; feedback

摘要

We model debt restructurings that could endogenously end in bankruptcy, and study spillovers to competitors' operating decisions, profits, restructuring outcomes and security prices. We show that while bankruptcy could cause the firm's share price to drop, bankruptcy always signals good news about the firm. We identify the conditions under which a bankruptcy also signals good news about competitors. We demonstrate that when a firm's bankruptcy costs are relatively small, bankruptcy raises its share price while lowering the prices of competitors' shares and debt as well as boosting the probability that they will enter bankruptcy. When there is little information asymmetry about the firm's prospects, or the information asymmetry is about industry prospects, bankruptcy raises competitors' share and debt prices and lowers their probability of bankruptcy. (C) 2018 Elsevier B.V. All rights reserved.