Asset reliability and security prices: evidence from credit markets

• 成果类型: Article
• 署名作者: Arora, Navneet; Richardson, Scott; Tuna, Irem
• 署名单位: University of London; London Business School
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-013-9254-7
• 发表日期: 2014
• 页码: 363-395
• 关键词: CORPORATE YIELD SPREADS; term structure; VALUE-RELEVANCE; stock-prices; RISK; INFORMATION; liquidity; earnings; default; bonds

摘要

We assess the relation between asset reliability and security prices. Concerns about asset reliability are increasing with the move to fair value accounting in general purpose financial reports. We provide pertinent evidence from credit markets. A key benefit of using credit market data to explore the capital market implications of asset reliability is the theoretical basis of Duffie and Lando (Econometrica 69(3):633-664, 2001). They show that asset reliability (measurement) concerns should be concentrated in short-term credit spreads. Thus a focus on credit term structure can facilitate a cleaner identification of the impact of asset reliability on security prices. We find that asset reliability issues, attributable to SFAS 157 disclosures of Level 2 and, especially, Level 3 financial assets for a set of US financial institutions over the period of August 2007 to March 2009, are a significant determinant of short-term credit spreads and the shape of the general credit term structure. Our findings are robust to a variety of control variables and research design choices.