Cross-Listings and the Dynamics between Credit and Equity Returns
研究了公司在多个市场上市如何影响其信用违约互换（CDS）与股票收益之间的动态关系，发现交叉上市增强了CDS对股票收益的敏感性、CDS与全球股票和债券市场的整合以及CDS与股票价格的统计同步性。
Abstract We study how listing in multiple markets affects the dynamics between firms’ credit default swap (CDS) and stock returns. We find that cross-listing increases (1) the sensitivity of CDS to stock returns, (2) the integration of CDS with world equity and bond markets, and (3) the statistical synchronicity of CDS and stock prices. Our results are stronger for firms with greater media attention, analyst and CDS coverage, and Google search intensity and for listings in familiar markets. We suggest that a firm’s presence in global equity markets comes with an improvement in the credit-equity integration through a reduction of informational frictions. Received April 20, 2017; editorial decision February 12, 2019 by Editor Andrew Karolyi. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.