Value investing in credit markets

• 成果类型: Article
• 署名作者: Correia, Maria; 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/s11142-012-9191-x
• 发表日期: 2012
• 页码: 572-609
• 关键词: FINANCIAL RATIOS; CORPORATE-BONDS; trading costs; RISK; bankruptcy; prediction; returns; TRANSPARENCY; default; models

摘要

We outline a parsimonious empirical model to assess the relative usefulness of accounting- and equity market-based information to explain corporate credit spreads. The primary determinant of corporate credit spreads is the physical default probability. We compare existing accounting-based and market-based models to forecast default. We then assess whether the credit market completely incorporates this default information into credit spreads. We find that credit spreads reflect information about forecasted default rates with a significant lag. This unique evidence suggests a role for value investing in credit markets.