Do credit default swaps mitigate the impact of credit rating downgrades?
We find that a firm's stock price reaction to its credit rating downgrade announcement is muted by 44-52% when credit default swaps (CDSs) trade on its debt. We explore the role of the CDS markets in providing information ex ante and relieving financing frictions ex post for downgraded firms. W...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Oxford University Press
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |