We investigate which assumption on executive preferences best matches the market expectations around CEO stock grants events. We measure market expectations of executive risk-taking by changes in firms’ CDS spreads and derive utility-adjusted risk-taking incentives under various preference assumptions. We find significantly positive abnormal CDS spread changes around first-time CEO stock grant events. The result is stronger for companies with high leverage, low Altman (1968) Z-Score, and low-grade credit ratings. We further show that loss aversion is most consistent with the evidence. Our study highlights the link between changes in executive compensation, risk taking, and preference identification.