Publication
How did EU corporate CDS spreads react during the COVID-19 Pandemic?
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Schliephake, Eva | |
| dc.contributor.author | Hacene, Janina | |
| dc.date.accessioned | 2023-04-19T10:25:22Z | |
| dc.date.available | 2023-04-19T10:25:22Z | |
| dc.date.issued | 2022-10-18 | |
| dc.date.submitted | 2022-09 | |
| dc.description.abstract | EU 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. | pt_PT |
| dc.description.abstract | Os spreads dos swaps de crédito de empresas da UE (CDS) aumentaram consideravelmente desde o início da pandemia COVID-19. Esta tese examina a relação entre as características corporativas pré-crise e a reação dos spreads de CDS à magnitude da pandemia medida pelo número de novos casos de COVID-19. São utilizados dados sobre 234 empresas em 16 economias. Constato que a propagação de CDS relacionada com a pandemia é menor para as empresas maiores e para as empresas com maiores níveis de ROA e CSR pré-pandémicos, efeitos tanto económicos como estatisticamente significativos. Além disso, e surpreendentemente, as empresas com maior endividamento e menor liquidez reportaram um menor aumento da propagação de CDS induzida pela pandemia. O significado estatístico variou ao longo das análises, no entanto, o significado económico é detetado em alguns casos. | pt_PT |
| dc.identifier.tid | 203132882 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.14/40879 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Credit default swap (CDS) | pt_PT |
| dc.subject | COVID-19 pandemic | pt_PT |
| dc.subject | Corporate resilience | pt_PT |
| dc.subject | EU | pt_PT |
| dc.subject | Pandemia de COVID-19 | pt_PT |
| dc.subject | Resiliência empresarial | pt_PT |
| dc.subject | UE | pt_PT |
| dc.title | How did EU corporate CDS spreads react during the COVID-19 Pandemic? | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | Mestrado em Finanças | pt_PT |