Initial Technical Violations of Debt Covenants and Changes in Firm Risk
研究首次技术性债务契约违约是否导致企业股权风险显著上升，发现系统性风险和非系统性风险均增加，且非系统性风险变化可预测未来退市。
The purpose of this paper is to investigate whether initial technical debt covenant violations are associated with significant increases in the equity risk of violating firms. Our results indicate that first‐time violations are associated with significant increases in both systematic and unsystematic risk. The increase in systematic risk is attributable primarily to rising levels of financial leverage as opposed to changes in the underlying asset beta. We also find that the change in unsystematic risk experienced by first‐time debt covenant violators is a significant predictor of future exchange delisting, even after controlling for other factors typically associated with increasing financial distress.