Financial Innovation and Financial Intermediation: Evidence from Credit Default Swaps
研究发现信用违约互换交易启动后，企业债券承销费用降低12%至28%，风险较高和流动性较差的债券降幅更大，且受监管约束的投资者参与增加，表明CDS通过改善风险分担降低了金融中介成本。
We study the influence of credit default swaps (CDS) trading on the costs of bond intermediation. After CDS initiation, CDS firms pay 12% to 28% (8 to 20 basis points) lower underwriting fees than similar non-CDS firms do. Underwriting fees decline more for riskier issuers and illiquid bonds for which the ability to hedge with CDS is more valuable. In bond offerings, participation by investors facing risk-based regulatory requirements increases after CDS initiation. Our evidence suggests that CDS-driven innovations in risk sharing contribute to the transactional efficiency of the market by reducing the financial intermediation costs of placing bonds. This paper was accepted by Karl Diether, finance.