Liu Ya, Qiu Buhui, Wang Teng
University of Sydney Business School, NSW, 2006, Australia.
Board of Governors of the Federal Reserve System, Constitution Ave NW, Washington DC, 20551, USA.
J Financ Stab. 2021 Apr;53:100855. doi: 10.1016/j.jfs.2021.100855. Epub 2021 Feb 28.
This paper studies how the COVID-19 shock affects the CDS spread changes and abnormal stock returns of U.S. firms with different levels of debt rollover risk. We use the COVID-19 crisis as a quasi-natural experiment of adverse cash flow shock that increases the default risk of firms facing an immediate liquidity shortfall. We find that the COVID-19 shock significantly increased the CDS spread and decreased the shareholder value for firms facing higher debt rollover risk. The effect is stronger for non-financial firms, for firms that are financially constrained, and for firms that are highly volatile. Moreover, we find that firms with immediate refinancing needs suffered more than firms with distant refinancing needs during the COVID-19 shock, which further confirms that firms' debt rollover risk is indeed a key factor that drives the heterogenous reactions to the shock. The paper provides fresh insights into the role of firms' debt rollover risk during the COVID-19 health crisis.
本文研究了新冠疫情冲击如何影响具有不同债务展期风险水平的美国公司的信用违约互换（CDS）利差变化和异常股票回报。我们将新冠疫情危机作为不利现金流冲击的准自然实验，这种冲击增加了面临即时流动性短缺的公司的违约风险。我们发现，新冠疫情冲击显著提高了面临更高债务展期风险公司的CDS利差，并降低了其股东价值。对于非金融公司、受财务约束的公司以及波动性高的公司，这种影响更强。此外，我们发现，在新冠疫情冲击期间，有即时再融资需求的公司比有远期再融资需求的公司遭受的损失更大，这进一步证实了公司的债务展期风险确实是驱动对该冲击产生异质反应的关键因素。本文为新冠疫情健康危机期间公司债务展期风险的作用提供了新的见解。
