Stock price crash risk and credit spread

• Main Authors: Yi-Xuan Tseng, 曾譯萱
• Other Authors: 黃泓人
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/5s257a

碩士 === 國立中央大學 === 財務金融學系 === 107 === The purpose of this research is to investigate the impact of stock price crash risk on credit spread. The sample is adopted by American corporate bond with yearly data from 2002 to 2015. According to the previous research, the existence of information asymmetries between corporate insiders and external stakeholders could lead to crash risk. In addition, the information asymmetry is positively related to credit spread. Therefore, we focus on the relationship between stock price crash risk and credit spread. We use the OLS and 2SLS regressions. The results show that firms with higher stock price crash risk contribute to higher credit spread .