Access the full text.
Sign up today, get DeepDyve free for 14 days.
H Bessembinder, W Maxwell, K Venkataraman (2006)
Market transparency, liquidity externalities, and institutional trading costs in corporate bondsJournal of Financial Economics, 82
J. Lewellen (2010)
Accounting anomalies and fundamental analysis: An alternative viewJournal of Accounting and Economics, 50
P. Schultz (2001)
Corporate Bond Trading Costs: A Peek Behind the CurtainJournal of Finance, 56
(2010)
ISDA Market Survey
E. Fama, K. French (1993)
Common risk factors in the returns on stocks and bondsJournal of Financial Economics, 33
E Fama, K French (1992)
The cross-section of expected stock returnsJournal of Finance, 47
W. Beaver, M. McNichols, Jung-Wu Rhie (2004)
Have Financial Statements Become Less Informative? Evidence from the Ability of Financial Ratios to Predict BankruptcyReview of Accounting Studies, 10
S. Lok, Scott Richardson (2011)
Credit markets and financial informationReview of Accounting Studies, 16
(2007)
Dts (Duration Times Spread)
N. Arora, J. Bohn, F. Zhu (2005)
Reduced Form vs. Structural Models of Credit Risk: A Case Study of Three Models
E. Fama, James MacBeth (1973)
Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 81
Jing-Zhi Huang, Ming Huang (2003)
How Much of Corporate-Treasury Yield Spread Is Due to Credit Risk?: A New Calibration Approach
N. Chen, Richard Roll, S. Ross (1986)
Economic Forces and the Stock MarketThe Journal of Business, 59
Tyler Shumway (1999)
Forecasting Bankruptcy More Accurately: A Simple Hazard ModelFinancial Accounting
E. Encyclopedia (2014)
International Swaps And Derivatives Association
S Hillegeist, E Keating, D Cram, K Lundstedt (2004)
Assessing the probability of bankruptcyReview of Accounting Studies, 9
T Shumway (2001)
Forecasting bankruptcy more accurately: A simple hazard modelJournal of Business, 74
Amy Edwards, L. Harris, M. Piwowar (2007)
Corporate Bond Market Transaction Costs and TransparencyJournal of Finance, 62
D. Dickey, W. Fuller (1979)
Distribution of the Estimators for Autoregressive Time Series with a Unit RootJournal of the American Statistical Association, 74
E Altman (1968)
Financial ratios, discriminant analysis and the prediction of corporate bankruptcyJournal of Finance, 23
S Kealhofer (2003)
Quantifying credit risk I: Default predictionFinancial Analysts Journal, 59
J. Campbell, Jens Hilscher, J. Szilágyi (2006)
In Search of Distress RiskCorporate Finance: Governance
S. Chava, R. Jarrow (2004)
Bankruptcy Prediction With Industry EffectsScheller: Finance (Topic)
W. Beaver, Maria Correia, M. McNichols (2012)
Do differences in financial reporting attributes impair the predictive ability of financial ratios for bankruptcy?Review of Accounting Studies, 17
Ilya Strebulaev, S. Schaefer (2004)
Structural Models of Credit Risk are Useful: Evidence from Hedge Ratios on Corporate BondsAFA 2005 Philadelphia Meetings (Archive)
M. Crouhy, D. Galai, Robert Mark (2000)
A comparative analysis of current credit risk modelsJournal of Banking and Finance, 24
J Campbell, J Hilscher, J Szilagyi (2008)
In search of distress riskJournal of Finance, 63
James Ohlson (1980)
FINANCIAL RATIOS AND THE PROBABILISTIC PREDICTION OF BANKRUPTCYJournal of Accounting Research, 18
Sreedhar Bharath, Tyler Shumway (2008)
Forecasting Default with the Merton Distance to Default ModelReview of Financial Studies, 21
Narasimhan Jegadeesh (1990)
Evidence of Predictable Behavior of Security ReturnsJournal of Finance, 45
H. Bessembinder, W. Maxwell, K. Venkataraman (2005)
Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate BondsLaw & Society: Public Law - Corporations eJournal
W. Beaver (1966)
Financial Ratios As Predictors Of FailureJournal of Accounting Research, 4
R Merton (1974)
On the pricing of corporate debt: The risk structure of interest ratesJournal of Finance, 29
P Collin-Dufresne, RS Goldstein, JS Martin (2001)
The determinants of credit spread changesJournal of Finance, 56
P. Asquith, Andrea Au, Thomas Covert, Parag Pathak (2010)
The Market for Borrowing Corporate BondsCapital Markets: Market Microstructure eJournal
Stephen Kealhofer (2003)
Quantifying Credit Risk II: Debt ValuationFinancial Analysts Journal, 59
P. Collin-Dufresne, J. Martin, Robert Goldstein (2001)
The Determinants of Credit Spread ChangesColumbia Business School Research Paper Series
Doron Nissim, S. Penman (2001)
Ratio Analysis and Equity Valuation: From Research to PracticeReview of Accounting Studies, 6
Whitney Newey, K. West (1986)
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelationconsistent Covariance MatrixEconometrics eJournal
J. Lewellen (2014)
The Cross Section of Expected Stock ReturnsHousehold Finance eJournal
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.
Review of Accounting Studies – Springer Journals
Published: Jun 22, 2012
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.