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作者：Demerjian, Peter R.
作者单位：Emory University
摘要：Recent years have seen a sharp decline in the use of balance sheet-based covenants in private debt contracts. I hypothesize that changes in accounting standards can explain part of this decline. Standard setting has shifted towards a balance sheet approach, which I predict has made the balance sheet less useful for contracting. I measure the effect of the balance sheet approach on specific borrowers using a volatility ratio. I find that borrowers with greater volatility ratios are less likely ...
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作者：Bhat, Gauri; Frankel, Richard; Martin, Xiumin
作者单位：Washington University (WUSTL)
摘要：We examine the relation between bank holdings of mortgage-backed securities (MBS) and MBS prices. Theory suggests feedback between MBS holdings and underlying asset markets can be aggravated by mark-to-market accounting. We measure feedback by the relation between asset returns and the changes in bank MBS holdings. Consistent with the existence of feedback effects related to mark-to-market, we find that for banks with high MBS, more nonperforming loans, and lower total capital ratio, changes i...
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作者：Blacconiere, Walter G.; Frederickson, James R.; Johnson, Marilyn F.; Lewis, Melissa F.
作者单位：Utah System of Higher Education; University of Utah; Indiana University System; Indiana University Bloomington; IU Kelley School of Business; Michigan State University; Michigan State University's Broad College of Business
摘要：One consequence of the shift to fair value measurement is the emergence of voluntary disclosures in audited financial statements that question the reliability of mandated fair value information. We refer to these disclosures as reliability disavowals. We examine stock option volatility estimates disclosed under SFAS 123 and test whether disavowals are informative (opportunistic) by examining whether ex ante firm characteristics, forecast bias, and prediction difficulty are consistent with info...
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作者：Lang, Mark; Maffett, Mark
作者单位：University of North Carolina; University of North Carolina Chapel Hill
摘要：We document, for a global sample, that firms with greater transparency (based on accounting standards, auditor choice, earnings management, analyst following and forecast accuracy) experience less liquidity volatility, fewer extreme illiquidity events and lower correlations between firm-level liquidity and both market liquidity and market returns. Results are robust to numerous sensitivity analyses, including controls for endogeneity and propensity matching. Results are particularly pronounced...
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作者：Skinner, Douglas J.
作者单位：University of Chicago
摘要：Demerjian (this issue) argues that a shift by U.S. standard setters towards the balance sheet approach reduces the usefulness of balance sheet numbers for contracting. Consistent with this argument, he provides evidence of a decline in the use of balance sheet-based covenants in debt contracts, a useful finding. Nevertheless, I argue that the evolution of standard-setting is more complex than this argument implies, and evaluate the economic basis of Demedian's arguments for how debt contracts ...
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作者：Ng, Jeffrey
作者单位：Massachusetts Institute of Technology (MIT)
摘要：I investigate whether information quality affects the cost of equity capital through liquidity risk. Liquidity risk is the sensitivity of stock returns to unexpected changes in market liquidity; recent asset pricing literature has emphasized the importance of this systematic risk. I find that higher information quality is associated with lower liquidity risk and that the reduction in cost of capital due to this association is economically significant. I also find that the negative association ...
