How did EU corporate CDS spreads react during the COVID-19 Pandemic?

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.

Date of Award	18 Oct 2022
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Eva Schliephake (Supervisor)