The Costs of Sovereign Default: Evidence from the Stock Market
利用股票市场数据检验主权违约理论，发现易受金融中介中断或政府影响的企业股价对主权信用利差变化敏感，估计违约导致其生产性资产价值损失12%。
We use stock market data to test cross-sectional implications of theories of sovereign default and provide a market-based estimate of sovereign default costs. We find that the stock prices of firms vulnerable to financial intermediation disruption, or firms more exposed to the government, are particularly sensitive to changes in sovereign credit spreads. This is consistent with theories in which default is costly because it disrupts financial intermediation and damages government reputation. Estimation of a structural valuation model indicates that the market prices stocks as if sovereign default has large effects on vulnerable stocks, translating to a 12% destruction of the value of their productive assets. Received July 9, 2011; editorial decision August 16, 2017 by Editor Geert Bekaert.