COVID-19 Pandemic and Global Corporate CDS Spreads
51 Pages Posted: 11 Jun 2021 Last revised: 23 Jun 2021
Date Written: June 1, 2021
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
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