内生性
大流行
公司债券
业务
货币经济学
信用风险
经济
中国
信息不对称
债券
金融经济学
2019年冠状病毒病(COVID-19)
精算学
财务
计量经济学
医学
疾病
病理
政治学
传染病(医学专业)
法学
作者
Haoyu Gao,Yiling Ouyang,Huiyu Wen
标识
DOI:10.1080/1540496x.2023.2199121
摘要
This study investigates whether and how the pandemic is priced in the bond market in China. Using the city-level COVID-19 cases on a daily basis, we find a significant positive relationship between the pandemic outbreak and corporate credit spreads, implying that investor risk perception on pandemic exposure attracts a premium. Consistent with the default risk channel, corporate financial resilience alleviates pandemic pricing. Information asymmetry and tail risk can amplify the pricing effect because of reduced investor risk-bearing capacity. These findings are robust in addressing endogeneity concerns. We contribute to the emerging literature on the pandemic effect on credit markets.
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