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Accounting data and the credit spread: An empirical investigation

机译：会计数据和信用利差：实证研究

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摘要

Measures of credit risk based on Merton (1974) rely upon information available in the market prices of securities. Under the Efficient Market Hypothesis market prices should reflect all available information and, hence, make redundant all other information in the analysis of credit risk. This paper examines whether accounting data are fully reflected in the market-based measures of credit risk and therefore has no role in explaining variations in the credit spread on corporate bonds. We use a sample consisting of over 11,000 firm-quarter observations with matched equity, bond and accounting data. The results suggest that equity volatility and Merton's distance-to-default outperform accounting variables in explaining variations in the credit spread. However, accounting variables are incrementally informative in explaining variations in the credit spread when considered in conjunction with market-based measures. Within the set of accounting variables considered, we find that the profitability ratio is by far the most incrementally informative accounting variable.
机译：基于Merton（1974）的信用风险测度依赖于证券市场价格中的可用信息。根据有效市场假说，市场价格应反映所有可用信息，因此，在信用风险分析中应使所有其他信息变得多余。本文研究了会计数据是否完全反映在基于市场的信用风险度量中，因此对于解释公司债券信用利差的变化没有作用。我们使用的样本包括超过11,000个公司季度观察值，以及匹配的股本，债券和会计数据。结果表明，在解释信用利差变化时，股票波动率和默顿的违约距离要优于会计变量。但是，与基于市场的指标一起考虑时，会计变量在解释信用利差变化时提供了更多信息。在考虑的一组会计变量中，我们发现获利率是迄今为止增量最大的信息会计变量。

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  • 来源
    《Research in International Business and Finance》 |2015年第5期|233-250|共18页
  • 作者

    Amer Demirovic; Jon Tucker; Cherif Guermat;

  • 作者单位

    Centre for Global Finance, Faculty of Business & Law, University of the West of England, Frenchay Campus, Coldharbour Lane, Bristol BS16 1QY, United Kingdom;

    Centre for Global Finance, Faculty of Business & Law, University of the West of England, Frenchay Campus, Coldharbour Lane, Bristol BS16 1QY, United Kingdom;

    Centre for Global Finance, Faculty of Business & Law, University of the West of England, Frenchay Campus, Coldharbour Lane, Bristol BS16 1QY, United Kingdom;

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  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

    Credit spread; Credit risk analysis; Distance-to-default; Accounting data; Value relevance;

    机译：信用利差;信用风险分析;到默认距离;会计数据;价值相关性;

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