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

被引：8
|
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
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