Cost Structure, Operating Leverage, and CDS Spreads
研究发现信用投资者在定价信用违约互换时未充分反映企业成本结构的影响，且该影响取决于预期宏观经济状况，成本结构与焦虑指数变化的交互项可预测未来一季度的CDS利差。
ABSTRACT We provide evidence that credit investors do not fully impound the implications of firms' cost structure (or operating leverage) when pricing credit default swaps. Information about firms' cost structure is not disclosed and needs to be estimated. Furthermore, the performance implications of firms' cost structure depend on the expected macroeconomic conditions. We focus on the debt market because of the strong emphasis of this market on downside risk. To measure expected aggregate macroeconomic conditions, we employ the change in the anxious index (AI), which is the probability of a decline in real GDP provided by the SPF—the survey of professional forecasters. We find that the interaction between the firm's cost structure and change in AI predicts one-quarter-ahead CDS spreads. Portfolio-level analysis confirms this result. JEL Classifications: G12; G14; G32.