Bondholder Concentration and Credit Risk : Evidence from a Natural Experiment

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)127–159
Journal / PublicationReview of Finance
Volume20
Issue number1
Online published13 Apr 2015
Publication statusPublished - Mar 2016
Externally publishedYes

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DOI

DOI
Check@CityULib
Link to Scopus https://www.scopus.com/record/display.uri?eid=2-s2.0-84964292687&origin=recordpage
Permanent Link https://scholars.cityu.edu.hk/en/publications/publication(a8d3872b-03ad-4326-b61c-78fa7d7ad0ad).html

Abstract

We exploit the impact of hurricane Katrina on insurance companies to study the relationship between bondholder concentration and credit risk. Redemption-driven sales by property and casualty (re)insurance companies exposed to hurricane Katrina are associated with a large drop in bondholder concentration faced by corporate bond issuers. Exploiting this shock to capture exogenous variation in bondholder concentration, we find that greater bondholder concentration is associated with higher bond yield spreads, as well as with firm characteristics associated with credit risk.

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Publication fingerprints text

100
concentration INIS
100
risks INIS
100
credits INIS
100
Natural Experiment Keyphrases
100
Credit Risk Keyphrases
100
Bondholders Keyphrases
100
Concentration Risk Keyphrases
100
Credit Economics, Econometrics a...
66
Insurance Company Economics, Econometrics a...
40
hurricanes INIS
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Citation Format(s)

[ RIS ] [ BibTeX ]
Bondholder Concentration and Credit Risk: Evidence from a Natural Experiment. / Manconi, Alberto; Massa, Massimo; Zhang, Lei.
In: Review of Finance, Vol. 20, No. 1, 03.2016, p. 127–159.

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review