Corporate Payout Policy and Credit Risk: Evidence from Credit Default Swap Markets
利用信用违约互换市场数据，研究发现股息削减公告会显著提高CDS利差，尤其在衰退期和财务困境公司中，且信息效应主导财富转移效应。
We examine whether and how payout policy affects credit risk using evidence from the credit default swap (CDS) market. CDS spreads increase substantially in response to announcements of dividend cuts, especially during recessions and among firms experiencing financial distress. CDS spreads also react more strongly to permanent and less anticipated dividend cuts. The size of the CDS reaction is more pronounced for financial firms, which are inherently more opaque. In contrast, CDS spreads react weakly to dividend raises and share repurchases. The results show that the information effect of dividend changes dominates the wealth-transfer effect. This paper was accepted by Kay Giesecke, finance.