Journal of Financial & Quantitative Analysis. Volume 53, Issue 3 June 2018

信用违约互换与公司价值

作者：Rajesh Narayanan (Louisiana State University E. J. Ourso College of Business; Uzmanoglu)

Cihan Uzmanoglu (Binghamton University School of Management)

摘要：本研究表明当公司发行信用违约互换（CDS）时公司价值下降，并且这种影响随着随着CDS交易的活跃程度的提升而增大。这种由于现金流降低带来资本成本上升而导致的公司价值下降可以追溯到公司信用质量和股票流动性的下降。当CDS交易可能提供增量信息的时候公司价值下降较少，这表明CDS的交易对公司价值评估带来信息效用。然而，这些证据并不表明公司价值的上升是由于CDS的发行会促进投资。

Credit Default Swaps and Firm Value

Rajesh Narayanan (Louisiana State University E. J. Ourso College of Business; Uzmanoglu)， Cihan Uzmanoglu (Binghamton University School of Management)

ABSTRACT

This article provides evidence that firm value declines when credit default swaps (CDSs) are initiated and that the effect is greater when CDS trading activity is higher. This decline, which arises from an increase in the cost of capital as opposed to a decrease in free cash flows, traces to a deterioration in the firm’s credit quality and stock liquidity. Firm value declines less when CDS trading is likely to produce incremental information, suggesting that CDS trading has informational benefits for firm value. However, the evidence does not indicate that firm value increases because CDS availability facilitates investments.

原文链接: https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/credit-default-swaps-and-firm-value/F8B7B78DEB720771DBA47AF43E84934B

翻译：汪国颂