This article sought to analyze the relationship between the debt structure and the default risk of Brazilian companies during the subprime crisis. By debt structure, we understand both the composition of the typologies that compose it and the maturity structure of the debts, as well as the seniority structure of receipt. To analyze how the debt structure – specialization, maturity and seniority - are associated with the default risk of Brazilian firms listed on B3 during the subprime crisis, we used a descriptive research based on quantitative methods. The verification of our hypotheses followed the application of the Differences-in-Differences (DiD) estimator. Subsequently, this analysis took into account the fact that the treated and control firms have different observable characteristics. Thus, to solve this problem, we applied the Kernel Propensity Score Matching (K-PSM). Our results reveal behaviors unidentified in previous research. First, we identified that Brazilian companies are decreasing their specialization over time and that this specialization helped Brazilian companies to mitigate their default risk during the subprime crisis. Furthermore, we identified that Brazilian companies significantly reduced their long-term debt maturing in one year during the subprime crisis, trying to reduce their rollover risk since this increased the propensity to default risk of Brazilian companies during the crisis. Finally, we identified that companies mostly use senior debt and balance their seniority structure in secured and unsecured debt. Still, in the historical series, the secured debt reached their maximum values in 2009 during the crisis. Based on this, we identified that companies that have higher levels of subordinated (non-senior) debt increased their default risk as well as companies that have higher levels of secured debt mitigated their default risk during the crisis.
Comissão Organizadora
Anderson Odias da Silva
Claudia Yoshinaga
Ricardo D. Brito
Felipe Saraiva Iachan
Vinicius Augusto Brunassi Silva
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