Fair value accounting for liabilities and own credit risk
成果类型：
Article
署名作者：
Barth, Mary E.; Hodder, Leslie D.; Stubben, Stephen R.
署名单位：
Stanford University; Indiana University System; Indiana University Bloomington; University of North Carolina; University of North Carolina Chapel Hill
刊物名称：
ACCOUNTING REVIEW
ISSN/ISSBN：
0001-4826
DOI：
10.2308/accr.2008.83.3.629
发表日期：
2008
页码：
629-664
关键词：
摘要：
We find that equity returns associated with credit risk changes are attenuated by the debt value effect of the credit risk changes, as Merton (1974) predicts. We find that the relation between credit risk changes and equity returns is significantly less negative for firms with more debt-controlling for asset value changes, credit risk increases (decreases) are associated with equity value increases (decreases). This result obtains across credit risk levels. The relation is associated with changes in both expected cash flows and systematic risk, as reflected in analyst earnings forecasts and equity cost of capital. By inverting the Merton (1974) model, we provide descriptive evidence that if unrecognized debt value changes were recognized in income, but not unrecognized asset value changes, most credit upgrade (downgrade) firms would recognize lower (higher) income. These potentially counterintuitive income effects primarily are attributable to incomplete recognition of contemporaneous asset value changes. However, for a substantial majority of downgrade firms we find that recognized asset write-downs exceed unrecognized gains from debt value decreases. This mitigates concerns that income effects from recognizing changes in debt values would be anomalous for such firms.