Industry contagion in loan spreads

• 成果类型: Article
• 署名作者: Hertzel, Michael G.; Officer, Micah S.
• 署名单位: Loyola Marymount University; Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.10.012
• 发表日期: 2012
• 页码: 493-506
• 关键词: bankruptcy; Financial distress; contagion; Loan spreads

摘要

Spreads on new and renegotiated corporate loans are significantly higher when the loan originates (or is renegotiated) in the two years surrounding bankruptcy filings by industry rivals. This industry-specific contagion is particularly severe in the middle of industry bankruptcy waves. Furthermore, this contagion in loan spreads is mitigated in concentrated industries, consistent with the hypothesis and evidence in Lang and Stulz (1992) that bankruptcy filings in concentrated industries can have positive consequences for rivals (increased market share and/or power). There is also some evidence that contagion affects non-spread terms in loan contracts. (C) 2011 Elsevier B.V. All rights reserved.