How did EU corporate CDS spreads react during the COVID-19 Pandemic?

• Autor(a) principal: Hacene, Janina
• Data de Publicação: 2022
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.14/40879
• topic: Credit default swap (CDS); COVID-19 pandemic; Corporate resilience; EU; Pandemia de COVID-19; Resiliência empresarial; UE; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

EU corporate credit default swaps (CDS) spreads have notably increased since the beginning of the COVID-19 pandemic. This thesis examines the relationship between pre-crisis corporate characteristics and the reaction of CDS spreads to the magnitude of the pandemic measured by the number of new COVID-19 cases. Data on 234 firms across 16 economies is used. I find that the pandemic-related CDS spread widening is smaller for larger firms and firms with higher pre-pandemic ROA and CSR Score levels, effects both economically and statistically significant. Furthermore and surprisingly, firms with higher debt and lower cash levels reported a lower pandemic-induced CDS spread increase. Statistical significance varied throughout analyses, however, economic significance is detected in some cases.