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- Publisher Website: 10.1093/rfs/hhu038
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Article: Does the Tail Wag the Dog?: The Effect of Credit Default Swaps on Credit Risk
Title | Does the Tail Wag the Dog?: The Effect of Credit Default Swaps on Credit Risk |
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Authors | |
Keywords | Credit Default Swaps Credit Risk Bankruptcy Empty Creditor |
Issue Date | 2014 |
Publisher | Oxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/ |
Citation | The Review of Financial Studies, 2014, v. 27 n. 10, p. 2927-2960 How to Cite? |
Abstract | We use credit default swaps (CDS) trading data to demonstrate that the credit risk of reference firms, reflected in rating downgrades and bankruptcies, increases significantly upon the inception of CDS trading, a finding that is robust after controlling for the endogeneity of CDS trading. Additionally, distressed firms are more likely to file for bankruptcy if they are linked to CDS trading. Furthermore, firms with more “no restructuring” contracts than other types of CDS contracts (i.e., contracts that include restructuring) are more adversely affected by CDS trading, and the number of creditors increases after CDS trading begins, exacerbating creditor coordination failure in the resolution of financial distress. |
Persistent Identifier | http://hdl.handle.net/10722/203527 |
ISSN | 2023 Impact Factor: 6.8 2023 SCImago Journal Rankings: 17.654 |
SSRN | |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Subrahmanyam, MG | en_US |
dc.contributor.author | Tang, DY | en_US |
dc.contributor.author | Wang, SQ | en_US |
dc.date.accessioned | 2014-09-19T15:25:45Z | - |
dc.date.available | 2014-09-19T15:25:45Z | - |
dc.date.issued | 2014 | - |
dc.identifier.citation | The Review of Financial Studies, 2014, v. 27 n. 10, p. 2927-2960 | en_US |
dc.identifier.issn | 0893-9454 | - |
dc.identifier.uri | http://hdl.handle.net/10722/203527 | - |
dc.description.abstract | We use credit default swaps (CDS) trading data to demonstrate that the credit risk of reference firms, reflected in rating downgrades and bankruptcies, increases significantly upon the inception of CDS trading, a finding that is robust after controlling for the endogeneity of CDS trading. Additionally, distressed firms are more likely to file for bankruptcy if they are linked to CDS trading. Furthermore, firms with more “no restructuring” contracts than other types of CDS contracts (i.e., contracts that include restructuring) are more adversely affected by CDS trading, and the number of creditors increases after CDS trading begins, exacerbating creditor coordination failure in the resolution of financial distress. | - |
dc.language | eng | en_US |
dc.publisher | Oxford University Press. The Journal's web site is located at http://rfs.oxfordjournals.org/ | - |
dc.relation.ispartof | The Review of Financial Studies | en_US |
dc.rights | This is a pre-copy-editing, author-produced PDF of an article accepted for publication in [The Review of Financial Studies] following peer review. The definitive publisher-authenticated version [The Review of Financial Studies, 2014, v. 27 n. 10, p. 2927-2960] is available online at: [http://dx.doi.org/10.1093/rfs/hhu038]. | - |
dc.subject | Credit Default Swaps | - |
dc.subject | Credit Risk | - |
dc.subject | Bankruptcy | - |
dc.subject | Empty Creditor | - |
dc.title | Does the Tail Wag the Dog?: The Effect of Credit Default Swaps on Credit Risk | en_US |
dc.type | Article | en_US |
dc.identifier.email | Tang, DY: yjtang@hku.hk | en_US |
dc.identifier.authority | Tang, Y=rp01096 | en_US |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1093/rfs/hhu038 | - |
dc.identifier.scopus | eid_2-s2.0-84920068653 | - |
dc.identifier.hkuros | 235612 | en_US |
dc.identifier.volume | 27 | - |
dc.identifier.issue | 10 | - |
dc.identifier.spage | 2927 | - |
dc.identifier.epage | 2960 | - |
dc.identifier.isi | WOS:000343701500003 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.ssrn | 2192351 | - |
dc.identifier.issnl | 0893-9454 | - |