Are fundamentals priced in the bond market?

• 成果类型: Article
• 署名作者: Khurana, IK; Raman, KK
• 署名单位: University of Missouri System; University of Missouri Columbia; University of North Texas System; University of North Texas Denton
• 刊物名称: CONTEMPORARY ACCOUNTING RESEARCH
• ISSN/ISSBN: 0823-9150
• DOI: 10.1506/MTEM-T25T-BCJX-57NC
• 发表日期: 2003
• 页码: 465-494
• 关键词: SYSTEMATIC-RISK; earnings; return; prediction; debt; cost

摘要

To date, the discussion of the Lev and Thiagarajan 1993 fundamentals in the prior literature has been exclusively in the context of the stock market. Our study is the first to examine the value-relevance of these fundamentals for default risk. By focusing on the market for new bond issues, we examine the value-relevance of the fundamental score using expected rather than realized returns. Also, by focusing on the bond market we provide a different perspective than that brought by prior studies relying solely on stock prices. We find the fundamentals to be priced in the market for new bond issues as indicators of expected future earnings and to be value-relevant in enabling the market to discern differences in bond credit quality over and above the published bond ratings.