Browsing by Author "Hacene, Janina"
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- How did EU corporate CDS spreads react during the COVID-19 Pandemic?Publication . Hacene, Janina; Schliephake, EvaEU corporate credit default swaps (CDS) spreads have notably increased since the beginning of the COVID-19 pandemic. This thesis examines the relationship between pre-crisis corporate characteristics and the reaction of CDS spreads to the magnitude of the pandemic measured by the number of new COVID-19 cases. Data on 234 firms across 16 economies is used. I find that the pandemic-related CDS spread widening is smaller for larger firms and firms with higher pre-pandemic ROA and CSR Score levels, effects both economically and statistically significant. Furthermore and surprisingly, firms with higher debt and lower cash levels reported a lower pandemic-induced CDS spread increase. Statistical significance varied throughout analyses, however, economic significance is detected in some cases.