Exodus from Sovereign Risk: Global Asset and Information Networks in the Pricing of Corporate Credit Risk

• 成果类型: Article
• 署名作者: Lee, Jongsub; Naranjo, Andy; Sirmans, Stace
• 署名单位: State University System of Florida; University of Florida; University of Arkansas System; University of Arkansas Fayetteville
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12412
• 发表日期: 2016
• 页码: 1813-1856
• 关键词: DEFAULT SWAP SPREADS; INTERNATIONAL BANKRUPTCY; Investor protection; equity; distance; FIRMS; determinants; geography; RIGHTS

摘要

Using five-year credit default swap (CDS) spreads on 2,364 companies in 54 countries from 2004 to 2011, we find that firms exposed to stronger property rights through their foreign asset positions (institutional channel) and firms cross-listed on exchanges with stricter disclosure requirements (informational channel) reduce their CDS spreads by 40 bps for a one-standard-deviation increase in their exposure to the two channels. These channels capture effects beyond those associated with firm- and country-level fundamentals. Overall, we find that firm-level global asset and information connections are important mechanisms to delink firms from their sovereign and country risks.