Lagged accuracy in credit-risk measures

Date

2022

Director

Publisher

Elsevier
Acceso abierto / Sarbide irekia
Artículo / Artikulua
Versión aceptada / Onetsi den bertsioa

Project identifier

  • AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-104304GB-I00/ES/ recolecta
  • AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PGC2018-095072-B-I00/ES/ recolecta
Impacto
No disponible en Scopus

Abstract

This paper analyzes the magnitude (accuracy) and length (time) of the lag in the incorporation of new information in different measures of credit risk. The results, for US firms, show a lag for Altman’s Z accounting measure and credit rating. In contrast, market-based credit-risk measures such as CDSs and the Black-Scholes-Merton model show no lag. This paper also analyzes the determinants of the lags found showing the importance of the informativeness of CDSs in reducing the lag for all types of default events, and a negative relationship between accounting manipulation and the lag of Altman’s Z for severe default events.

Description

Keywords

Accruals, Accuracy, CDS informativeness, Credit-risk measures, Hard-to-value stocks, Lag

Department

Institute for Advanced Research in Business and Economics - INARBE

Faculty/School

Degree

Doctorate program

item.page.cita

item.page.rights

© 2021 Elsevier Inc. his manuscript version is made available under the CC-BY-NC-ND 4.0

Licencia

Los documentos de Academica-e están protegidos por derechos de autor con todos los derechos reservados, a no ser que se indique lo contrario.