Credit default swaps, exacting creditors and corporate liquidity management

• 成果类型: Article
• 署名作者: Subrahmanyam, Marti G.; Tang, Dragon Yongjun; Wang, Sarah Qian
• 署名单位: New York University; University of Hong Kong; University of Warwick
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.02.001
• 发表日期: 2017
• 页码: 395-414
• 关键词: Credit default swaps; cash; liquidity; Empty creditors

摘要

We investigate the liquidity management of firms following the inception of credit default swaps (CDS) markets on their debt, which allow hedging and speculative trading on credit risk to be carried out by creditors and other parties. We find that reference firms hold more cash after CDS trading commences on their debt. The increase in cash holdings is more pronounced for CDS firms that do not pay dividends and have a higher marginal value of liquidity. For CDS firms with higher cash flow volatility, these increased cash holdings do not entail higher leverage. Overall, our findings are consistent with the view that CDS-referenced firms adopt more conservative liquidity policies to avoid negotiations with more exacting creditors. (C) 2017 Elsevier B.V. All rights reserved.