Accounting transparency and the term structure of credit spreads

• 成果类型: Article
• 署名作者: Yu, F
• 署名单位: University of California System; University of California Irvine
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.07.002
• 发表日期: 2005
• 页码: 53-84
• 关键词: term structure of credit spreads; accounting transparency; corporate disclosure quality

摘要

Theory predicts that the quality of a firm's information disclosure can affect the term structure of its corporate bond yield spreads. Using cross-sectional regression and Nelson-Siegel yield curve estimation, I find that firms with higher Association for Investment Management and Research disclosure rankings tend to have lower credit spreads. Moreover, this transparency spread is especially large among short-term bonds. These findings are consistent with the theory of discretionary disclosure as well as the incomplete accounting information model of Duffie and Lando (Econometrica 69 (2001) 633). The presence of a sizable short-term transparency spread can attenuate some of the empirical problems associated with structural credit risk models. (C) 2004 Elsevier B.V. All rights reserved.