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The impact of credit default swaps on corporate capital structure and investment policies


The impact of credit default swaps on corporate capital structure and investment policies

Wang, Chunrong (2020) The impact of credit default swaps on corporate capital structure and investment policies. PhD thesis, Concordia University.

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Credit default swaps (CDSs) are credit derivatives whose primary purposes include hedging and the trading of credit risks. Unlike other derivatives, such as options or futures, CDSs materially alter lender-borrower relations and thus have real economic effects on the companies referenced by the CDSs. In this thesis, I explore the impact of CDS trading on the cost of capital, corporate capital structure, and corporate social responsibility.

First, I use the universe of U.S. public firms to examine the impact of CDS trading on a firm’s cost of capital during the period 2001 – 2018. My results robustly show that the inception of CDSs causes a significant reduction in a firm’s weighted average cost of capital (WACC). Further analyses reveal that highly levered firms tend to reduce their debt weight, while firms with low leverage increase their usage of debt. Moreover, CDS referenced firms adjust their debt types by using more arm-length debts, while they simultaneously decrease the usage of revolving credits and term loans from banks. The alteration in capital financing choices may be ascribed to the improved information environment and reflects the fact that CDS trading increases debt renegotiation costs but simultaneously also reduces capital supply-side frictions.

After confirming that CDS can impact firms’ financing decisions, I further investigate whether CDS trading can affect a company’s investment in corporate social and environmental activities. A longitudinal sample spanning from 2002 to 2017 across 11 countries and regions was constructed to evaluate the impact. I find that the inception of CDS trading causes a significant reduction in the metric of environmental emission reduction. In addition, the initiation of CDS trading weakly but negatively influences other aspects of CDS firms’ social and environmental performance. Further analysis reveals that investments in emission reduction activities have no relationship to shareholder value creation, whereas engaging in CSR activities related to, e.g., employee, community, or eco-product innovation, etc., increases shareholder wealth. Collectively, my findings reveal one of the downsides of CDSs arising from CDS-protected lenders who become less accommodating over post-CDS periods.

Divisions:Concordia University > John Molson School of Business > Finance
Item Type:Thesis (PhD)
Authors:Wang, Chunrong
Institution:Concordia University
Degree Name:Ph. D.
Program:Business Administration (Finance specialization)
Date:24 April 2020
Thesis Supervisor(s):Walker, Thomas and BhaBra, Harjeet
Keywords:Credit Default Swap WACC Corporate Social Responsibility
ID Code:987212
Deposited On:25 Nov 2020 15:28
Last Modified:25 Nov 2020 15:28


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