Withholding Bad News in the Face of Credit Default Swap Trading: Evidence from Stock Price Crash Risk

被引：6
|
作者：
Liu, Jinyu [1 ]
Ng, Jeffrey [2 ]
Tang, Dragon Yongjun [2 ]
Zhong, Rui [3 ]
机构：
[1] Univ Int Business & Econ, Beijing, Peoples R China
[2] Univ Hong Kong, Hong Kong, Peoples R China
[3] Univ Western Australia, Perth, Australia
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2024年 / 59卷 / 02期
基金：
中国国家自然科学基金;
关键词：
MANAGEMENT; LIQUIDITY; FIRM; DERIVATIVES; OWNERSHIP; BEHAVIOR; RETURNS; EQUITY; SALES; CEOS;
D O I：
10.1017/S002210902300008X
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Credit default swaps (CDSs) are a major financial innovation related to debt contracting. Because CDS markets facilitate bad news being incorporated into equity prices via cross-market information spillover, CDS availability may curb firms' information hoarding. We find that CDS trading on a firm's debt reduces the future stock price crash risk. This effect is stronger in active CDS markets, when the main lenders are CDS market dealers with securities trading subsidiaries, or when managers have more motivation to hoard information. Our findings suggest that debt market financial innovations curtail the negative equity market effects of firms withholding bad news.
引用
收藏
页码：557 / 595
页数：39
相关论文
共 50 条
  • [11] Green Credit Policy and Corporate Stock Price Crash Risk: Evidence From China
    Zhang, Wei
    Liu, Yun
    Zhang, Fengyun
    Dou, Huan
    FRONTIERS IN PSYCHOLOGY, 2022, 13
  • [12] Credit ratings and stock price crash risk
    Usman, Adam
    APPLIED ECONOMICS LETTERS, 2024, 31 (20) : 2199 - 2206
  • [13] Do dividends mitigate bad news hoarding, overinvestments, and stock price crash risk?
    Kim, Jeong-Bon
    Luo, Le
    Xie, Hong
    ACCOUNTING AND FINANCE, 2024, 64 (04): : 3999 - 4038
  • [14] Corporate Payout Policy and Credit Risk: Evidence from Credit Default Swap Markets
    Sun, Chengzhu
    Wang, Shujing
    Zhang, Chu
    MANAGEMENT SCIENCE, 2021, 67 (09) : 5755 - 5775
  • [15] Equity index futures trading and stock price crash risk: Evidence from Chinese markets
    Liu, Jinyu
    Zhong, Rui
    JOURNAL OF FUTURES MARKETS, 2018, 38 (11) : 1313 - 1333
  • [16] Green lending and stock price crash risk: Evidence from the green credit reform in China
    Chen, Jing
    Liu, Xinghe
    Ou, Fenghao
    Lu, Meiting
    Wang, Peipei
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2023, 130
  • [17] Investor trading behaviour and stock price crash risk
    Zhou, Liyun
    Huang, Jialiang
    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2019, 24 (01) : 227 - 240
  • [18] Trade credit financing and stock price crash risk
    Cao, Feng
    Ye, Kangtao
    Zhang, Ning
    Li, Sifei
    JOURNAL OF INTERNATIONAL FINANCIAL MANAGEMENT & ACCOUNTING, 2018, 29 (01) : 30 - 56
  • [19] Trade credit provision and stock price crash risk
    Wang, Meng
    Goodell, John W.
    Huang, Wei
    Jiang, Ying
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2023, 90
  • [20] Stock liquidity and stock price crash risk: Evidence from Vietnam
    Dinh, Ngoc Bao
    Tran, Hy Nguyen Song
    COGENT BUSINESS & MANAGEMENT, 2023, 10 (03):
12345