The effects of credit default swap trading on information asymmetry in syndicated loans

• 成果类型: Article
• 署名作者: Amiram, Dan; Beaver, William H.; Landsman, Wayne R.; Zhao, Jianxin
• 署名单位: Columbia University; Stanford University; University of North Carolina; University of North Carolina Chapel Hill; Emory University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.10.001
• 发表日期: 2017
• 页码: 364-382
• 关键词: CDS; syndicated loans; adverse selection; moral hazard; information asymmetry

摘要

This study shows that initiation of credit default swap (CDS) trading for an entity's debt increases the share of loans retained by loan syndicate lead arrangers and increases loan spread. These findings are consistent with CDS initiation reducing the effectiveness of a lead arranger's stake in the loan to serve as a mechanism to address the adverse selection and moral hazard problems in the loan syndicate. Additional findings corroborate this interpretation by revealing a moderating effect for firms with greater transparency, for loans originated by a lead arranger with a strong reputation in this market, and for firms with relatively illiquid CDS markets. (C) 2017 Elsevier B.V. All rights reserved.