The real effects of credit default swaps

• 成果类型: Article
• 署名作者: Danis, Andras; Gamba, Andrea
• 署名单位: University System of Georgia; Georgia Institute of Technology; University of Warwick
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.10.005
• 发表日期: 2018
• 页码: 51-76
• 关键词: Credit default swaps; CDS; Empty creditor; Restructuring; bankruptcy

摘要

We examine the effect of introducing credit default swaps (CDSs) on firm value. Our model allows for dynamic investment and financing, and bondholders can trade in the CDS market. The model incorporates both negative and positive effects of CDSs. CDS markets lead to more liquidations, but they also reduce the probability of costly debt renegotiation and reduce costly equity financing. After calibrating the model, we find that firm value increases by 2.9% on average with the introduction of a CDS market. Firms also invest more and increase leverage. The effect on firm value is strongest for small, financially constrained, and low productivity firms. (C) 2017 Elsevier B.V. All rights reserved.