Credit Insurance, Distress Resolution Costs, and Bond Spreads
研究发现信用违约互换（CDS）保险会增加债券利差，因为CDS保险使债权人更倾向于破产而非庭外重组，从而提高了困境解决成本。
Abstract Credit default swaps (CDS) introduce friction in debt renegotiations as they alter the incentives of creditors insured with CDS to favor bankruptcy instead of restructuring debt out of court. Such renegotiation friction can increase bond spreads by increasing distress resolution costs. Alternatively, they can decrease bond spreads by deterring the firm from strategic default. Using newly available data on firm‐level CDS positions to proxy for the extent of CDS insurance, we find that bond spreads increase with CDS insurance. Additional tests indicate that this increase is associated with the effect CDS insurance has on increasing distress resolution costs. These results, which are robust to endogeneity concerns associated with CDS insurance, provide evidence that credit insurance can affect a firm's cost of debt.