Shohfi, Thomas
(2015)
Default Risk, Credit Market Liquidity, and Corporate Events.
Doctoral Dissertation, University of Pittsburgh.
(Unpublished)
Abstract
Prior literature examining bond excess returns around corporate events assumes that creditor wealth effects are driven by changes in the default risk of the firm. I revisit these bond event studies using data from 2002 through 2014, explore intra-firm individual bond reactions, and refine the analyses using changes in credit default swap (CDS) spreads. CDS spreads (price-weighted firm aggregate cash bond prices) show small increases (large increases) in default risk of acquiring firms, no change (large increases) for common equity repurchasing firms, and large decreases (no change) for seasoned equity offering (SEO) firms. I isolate liquidity effects around these events by examining changes in the CDS-bond basis and contrast with introduction of the “basis credit ratio” (BCR) comparing basis to cash bond spread changes. Firm aggregate median BCRs show variation in the CDS-bond basis contributes between 50.8% and 69.6% of changes in bond spreads, suggesting that credit market liquidity risk around these corporate events is economically large relative to default risk.
Share
Citation/Export: |
|
Social Networking: |
|
Details
Item Type: |
University of Pittsburgh ETD
|
Status: |
Unpublished |
Creators/Authors: |
|
ETD Committee: |
|
Date: |
30 September 2015 |
Date Type: |
Publication |
Defense Date: |
29 June 2015 |
Approval Date: |
30 September 2015 |
Submission Date: |
7 July 2015 |
Access Restriction: |
No restriction; Release the ETD for access worldwide immediately. |
Number of Pages: |
93 |
Institution: |
University of Pittsburgh |
Schools and Programs: |
Joseph M. Katz Graduate School of Business > Business Administration |
Degree: |
PhD - Doctor of Philosophy |
Thesis Type: |
Doctoral Dissertation |
Refereed: |
Yes |
Uncontrolled Keywords: |
Acquisitions, CDS-Bond Basis, Corporate Bonds, Credit Default Swaps, Credit Ratings, Default Risk, Liquidity, Repurchases, SEOs |
Related URLs: |
|
Date Deposited: |
30 Sep 2015 14:39 |
Last Modified: |
19 Dec 2016 14:42 |
URI: |
http://d-scholarship.pitt.edu/id/eprint/25556 |
Metrics
Monthly Views for the past 3 years
Plum Analytics
Actions (login required)
![View Item View Item](/style/images/action_view.png) |
View Item |