Contagion or Competition? Empirical Analysis of Measuring Intra-industry Contagion Effect
Date Issued
2007
Date
2007
Author(s)
Lin, Keng-Hsien
DOI
en-US
Abstract
New generation credit risk model have increasingly recognized the importance of credit contagion. To provide a solid empirical foundation, this paper investigates the
announcement effect of a firm’s credit event on stock market abnormal return of its industry counterparts for a sample of 82 credit events filed between 1998 and 2005.
Our findings show that the contagion and competitive effects are heterogeneous condition on the nature of credit events. In addition, competitors experience positive
stock abnormal return in concentrated industries than in less concentrated industries, suggesting a competitive effect. We further examine the driver of contagion effect
within industry and incorporate industry and firm-specific factors. On average, asset size, leverage degree, growth opportunity are positively related to the contagion effect
whereas firms with higher profitability and better corporate governance can relatively benefit from the difficulties of the distressed firm.
Subjects
信用事件宣告效果
傳染效果
競爭效果
產業集中度
信用傳染
credit contagion
contagion effect
competition effect
industry concentration
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-96-R94723039-1.pdf
Size
23.31 KB
Format
Adobe PDF
Checksum
(MD5):63b6cb7eaed97548239213720235162d