Abinzano Guillén, María IsabelGonzález Urteaga, AnaMuga Caperos, Luis FernandoSánchez Alegría, Santiago2022-05-192024-06-0120221544-612310.1016/j.frl.2021.102653https://academica-e.unavarra.es/handle/2454/42980This 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.15 p.application/pdfeng© 2021 Elsevier Inc. his manuscript version is made available under the CC-BY-NC-ND 4.0AccrualsAccuracyCDS informativenessCredit-risk measuresHard-to-value stocksLaginfo:eu-repo/semantics/articleinfo:eu-repo/semantics/openAccess