TY - JOUR
T1 - How Does the Use of Credit Default Swaps Affect Firm Risk and Value? Evidence from US Life and Property/Casualty Insurance Companies
AU - Fung, Hung‐Gay
AU - Wen, Min‐Ming
AU - Zhang, Gaiyan
N1 - Enter your email address below. If your address has been previously registered, you will receive an email with instructions on how to reset your password. If you don't receive an email, you should register as a new user
PY - 2012/1/12
Y1 - 2012/1/12
N2 - This study uses a unique credit default swap (CDS) transaction data set of insurers to examine the effects of CDS usage on the risk profile and firm value of US insurance companies for the period 2001‐2009. Applying a Heckman two‐stage model to adjust for the potential endogeneity of CDS usage with respect to firm risk and firm value, we find consistent evidence that the utilization of CDS for income generation purposes is associated with greater market risk, deterioration of financial performance, and lower firm value, for both Life and Property/Casualty insurers.
AB - This study uses a unique credit default swap (CDS) transaction data set of insurers to examine the effects of CDS usage on the risk profile and firm value of US insurance companies for the period 2001‐2009. Applying a Heckman two‐stage model to adjust for the potential endogeneity of CDS usage with respect to firm risk and firm value, we find consistent evidence that the utilization of CDS for income generation purposes is associated with greater market risk, deterioration of financial performance, and lower firm value, for both Life and Property/Casualty insurers.
UR - http://onlinelibrary.wiley.com/doi/10.1111/j.1755-053X.2012.01203.x/abstract
U2 - 10.1111/j.1755-053X.2012.01203.x
DO - 10.1111/j.1755-053X.2012.01203.x
M3 - Article
VL - 41
JO - Financial Management
JF - Financial Management
ER -