Debt Rollover Risk, Credit Default Swap Spread and Stock Returns: Evidence from the COVID-19 Crisis

Field	Value	Language
dc.contributor.author	Liu, Ya	en
dc.contributor.author	Qiu, Buhui	en
dc.contributor.author	Wang, Teng	en
dc.date.accessioned	2020-08-14
dc.date.available	2020-08-14
dc.date.issued	2020	en
dc.identifier.uri	https://hdl.handle.net/2123/23093
dc.description.abstract	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. The paper provides fresh insights into the role of firms’ debt rollover risk during the COVID-19 health crisis.	en
dc.language.iso	en	en
dc.rights	Other	en
dc.subject	COVID-19	en
dc.subject	Coronavirus	en
dc.title	Debt Rollover Risk, Credit Default Swap Spread and Stock Returns: Evidence from the COVID-19 Crisis	en
dc.type	Preprint	en
dc.identifier.doi	10.2139/ssrn.3617500
usyd.faculty	The University of Sydney Business School

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