Market's Pricing and Risk-Return Trade-Offs Associated with Covenant-Lite Issues

Author:

Isin Adnan Anil,Jacob Martin,McMeeking Kevin,Tharyan Rajesh

Publisher

Elsevier BV

Reference42 articles.

1. CDS controls for pre/post-issue period CDS spreads (in bps) and RATE_DOWN is the probability of rating downgrades within the NIG range of rating categories from BB+ to B-within the S&P's rating classification. BA_SPR is the post-issue period secondary market BID-ASK spreads. PRICE_SEC is the post-issue period secondary market pricing. PRICE_SEC is estimated using daily middle point of BID-ASK spreads. PRICING PERFORMANCE is post-issue period given that there is no pricing information before a given issue. In all regression models we use EB sub-sample to control for variable omission. We also control for industry and year fixed effects and cluster standard errors at firm level. The t statistics are given in parentheses;Table 6 examines post issue period credit (CREDIT PERFORMANCE) and pricing (PRICING PERFORMANCE) performance analysis

2. Berichtigungen

3. BASELINE ANALYSIS presents baseline results for covlite vs. covheavy deals during both the SELL-OFF and RECOVERY periods. HRF analysis controls for high risk firms. We control for industry fixed effects and cluster standard errors at firm level. The t statistics are given in parentheses. Asterisks above the coefficients represent significance levels where *, ** and *** denotes significance at 10%;Table 7 examines pandemic period secondary markets return performance for covlite vs. covheavy issues

4. Lending implications of US bank stress tests: Costs or benefits;V V Acharya;Journal of Financial Intermediation,2018

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