Has the CDS market lowered the cost of corporate debt?

被引：148
|
作者：
Ashcraft, Adam B. [1 ]
Santos, Joao A. C. [1 ]
机构：
[1] Fed Reserve Bank New York, New York, NY 10045 USA
来源：
JOURNAL OF MONETARY ECONOMICS | 2009年 / 56卷 / 04期
关键词：
Credit default swaps; Loan spreads; Credit spreads; CREDIT RATING ANNOUNCEMENTS; DEFAULT SWAP; DERIVATIVES; LOANS; BONDS;
D O I：
10.1016/j.jmoneco.2009.03.008
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Many have claimed that credit default swaps (CDSs) have lowered the cost of debt financing to firms by creating new hedging opportunities and information for investors. This paper evaluates the impact that the onset of CDs trading has on the spreads that underlying firms pay to raise funding in the corporate bond and syndicated loan markets. Employing a range of methodologies, we fail to find evidence that the onset of CDS trading lowers the cost of debt financing for the average borrower. Further, we uncover economically significant adverse effects on risky and informationally opaque firms. (C) 2009 Elsevier B.V. All rights reserved.
引用
收藏
页码：514 / 523
页数：10
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