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Effect of Mandatory IFRS Adoption on Accounting-Based Prediction Models for CDS Spreads
Kraft, Pepa - 2017
This study examines the effects of mandatory IFRS adoption on accounting-based prediction models for CDS spreads for a … sample of 357 firms in 16 IFRS-adopting countries. We do this by estimating accounting-based prediction models for CDS … spreads separately for financial and non-financial firms before and after mandatory IFRS adoption. We find that mean and …
Persistent link: https://www.econbiz.de/10012973166
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Testing the Transparency Implications of Mandatory IFRS Adoption : The Spread/Maturity Relation of Credit Default Swaps
Bhat, Gauri - 2015
This study tests whether IFRS adoption increased accounting transparency based on model-driven hypotheses. Duffie and … specific ways. Consistent with their model, we find that CDS spreads are lower across maturities following the adoption of IFRS …/maturity relation of a control sample of CDS instruments. Predicted changes apply more intensely to firms with low pre-IFRS transparency …
Persistent link: https://www.econbiz.de/10013018511
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Testing the Transparency Implications of Mandatory IFRS Adoption : The Spread/Maturity Relation of Credit Default Swaps
Bhat, Gauri - 2015
This study tests whether IFRS adoption increased accounting transparency based on model-driven hypotheses. Duffie and … specific ways. Consistent with their model, we find that CDS spreads are lower across maturities following the adoption of IFRS …/maturity relation of a control sample of CDS instruments. Predicted changes apply more intensely to firms with low pre-IFRS transparency …
Persistent link: https://www.econbiz.de/10013033354
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Methodological Thoughts on Expected Loss Estimation for IFRS 9 Impairment : Hidden Reserves, Cyclical Loss Predictions and LGD Backtesting
Reitgruber, Wolfgang - 2016
IFRS 9. Consequently, iACV© can be used to quantify conservatism (ie potential hidden reserves) in the actual …
Persistent link: https://www.econbiz.de/10013004047
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The Direct Relevance of Accounting Information for Credit Default Swap Pricing
Batta, George E. - 2011
This paper examines the direct relevance of accounting information for credit default swap (CDS) pricing. Prior research on the impact of accounting information for CDS pricing has neglected to include either the output of theoretical CDS pricing models or credit ratings, both of which should...
Persistent link: https://www.econbiz.de/10013120162
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Do Financial Market Developments Influence Accounting Practices? Credit Default Swaps and Borrowers’ Asymmetric Loss Recognition Timeliness
Gong, Guojin - 2010
Lenders can transfer credit risk by purchasing credit default swaps (CDS), but holding swaps can diminish their incentives to monitor borrowers. Contracting theory predicts that lenders demand conservatism, in particular asymmetric timeliness of loss recognition, to effectively monitor...
Persistent link: https://www.econbiz.de/10013150450
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Credit Default Swaps and Analyst Optimism
Govindaraj, Suresh - 2019
This paper investigates whether and how the initiation of Credit Default Swaps (CDS) trading affects analyst optimism. First, we document that analyst forecasts become less optimistic after the initiation of CDS trading. Second, we find that the dampening effect of CDS on analyst optimism is...
Persistent link: https://www.econbiz.de/10012889103
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Credit Default Swaps and Cost Management
Dai, Jing - 2017
In this paper, we examine the effect of credit defaults swap (CDS) initiation on reference firms' cost management behavior. CDS contracts provide insurance protection for lenders, inducing a shift in bargaining power from borrowers to lenders and an excessive incidence of bankruptcy....
Persistent link: https://www.econbiz.de/10012948464
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Credit Default Swaps and Managers’ Voluntary Disclosure
Kim, Jae B. - 2018
We investigate how the availability of traded credit default swaps (CDSs) affects the referenced firms' voluntary disclosure choices. CDSs enable lenders to hedge their credit risk exposure, weakening their incentives to monitor borrowers. We predict that reduced lender monitoring in turn leads...
Persistent link: https://www.econbiz.de/10012913578
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The Performance of Insolvency Prediction and Credit Risk Models in the UK : A Comparative Study
Jackson, Richard H.G. - 2013
using, for the first time, post-IFRS UK data; and investigate the distributional properties of model efficacy. We find that …
Persistent link: https://www.econbiz.de/10013079540