COVID-19 Pandemic and Global Corporate CDS Spreads

51 Pages Posted: 11 Jun 2021 Last revised: 23 Jun 2021

See all articles by Iftekhar Hasan

Iftekhar Hasan

Fordham University ; Bank of Finland; University of Sydney

Miriam Marra

University of Reading - ICMA Centre, Henley Business School

Thomas Y. To

University of Sydney Business School

Eliza Wu

The University of Sydney - Business School; Financial Research Network (FIRN)

Gaiyan Zhang

University of Missouri at St. Louis - College of Business Administration

Date Written: June 1, 2021

Abstract

We examine the impact of the COVID-19 pandemic on CDS spreads of companies around the world. We find that the pandemic-induced increases in corporate CDS spreads are concentrated in firms with higher leverage, non-investment-grade rating, lower profitability, and higher stock volatility. Further analysis shows that increases in CDS spreads are smaller for firms with employee health policies in place, better corporate social responsibility performance, stronger corporate governance, and operating in industries less affected by social distancing. Lastly, our results reveal that the successful vaccine trials and national policies including income support packages, lockdown policies and health policies help to reduce corporate CDS spreads.

Keywords: Global corporate CDS, COVID-19 pandemic, employee health policies, government anti-COVID-19 policies, vaccine news

JEL Classification: G15, G18, G38, M14

Suggested Citation

Hasan, Iftekhar and Marra, Miriam and To, Thomas Yin and Wu, Eliza and Zhang, Gaiyan, COVID-19 Pandemic and Global Corporate CDS Spreads (June 1, 2021). Available at SSRN: https://ssrn.com/abstract=3858059 or http://dx.doi.org/10.2139/ssrn.3858059

Iftekhar Hasan

Fordham University ( email )

45 COLUMBUS AVENUE
GBA-5TH FLOOR
NEW YORK, NY 10023
United States

Bank of Finland ( email )

P.O. Box 160
Helsinki 00101
Finland

University of Sydney ( email )

P.O. Box H58
Sydney, NSW 2006
Australia

Miriam Marra (Contact Author)

University of Reading - ICMA Centre, Henley Business School ( email )

ICMA Centre - Henley Business School - University
Whiteknights Campus
Reading, RG6 6BA
United Kingdom

Thomas Yin To

University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Eliza Wu

The University of Sydney - Business School ( email )

University of Sydney
Darlington
Sydney, NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Gaiyan Zhang

University of Missouri at St. Louis - College of Business Administration ( email )

One University Blvd
St. Louis, MO 63121
United States

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