新冠疫情期间“堕落天使”风险与企业现金争夺潮
The Risk of Being a Fallen Angel and the Corporate Dash for Cash in the Midst of COVID.
作者信息
Acharya Viral V, Steffen Sascha
机构信息
Stern School of Business, New York University, CEPR, ECGI, and NBER.
Frankfurt School of Finance & Management.
出版信息
Rev Corp Financ Stud. 2020 Jul 31:cfaa013. doi: 10.1093/rcfs/cfaa013.
Data on firm-loan-level daily credit line drawdowns in the United States expose a corporate "dash for cash" induced by the COVID-19 pandemic. In the first phase of the crisis, which was characterized by extreme precaution and heightened aggregate risk, firms drew down bank credit lines and raised cash levels. In the second phase, which followed the adoption of stabilization policies, only the highest-rated firms switched to capital markets to raise cash. Consistent with the risk of becoming a fallen angel, the lowest-quality BBB-rated firms behaved more similarly to non-investment grade firms. The observed corporate behavior reveals the significant impact of credit risk on corporate cash holdings.
美国企业贷款层面每日信贷额度提取数据揭示了新冠疫情引发的企业“现金冲刺”现象。在危机的第一阶段，其特点是极度谨慎和总体风险加剧，企业提取银行信贷额度并提高现金水平。在第二阶段，即在采取稳定政策之后，只有评级最高的企业转向资本市场筹集现金。与沦为“堕落天使”的风险一致，质量最低的BBB评级企业的行为与非投资级企业更为相似。观察到的企业行为揭示了信用风险对企业现金持有量的重大影响。
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