Lagged accuracy in credit-risk measures
Consultable a partir de
2024-06-01
Fecha
2022Autor
Versión
Acceso embargado / Sarbidea bahitua dago
Tipo
Artículo / Artikulua
Versión
Versión aceptada / Onetsi den bertsioa
Identificador del proyecto
Impacto
|
10.1016/j.frl.2021.102653
Resumen
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 ...
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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. [--]
Materias
Accruals,
Accuracy,
CDS informativeness,
Credit-risk measures,
Hard-to-value stocks,
Lag
Editor
Elsevier
Publicado en
Finance Research Letters 47 (2022) 102653
Departamento
Universidad Pública de Navarra/Nafarroako Unibertsitate Publikoa. Institute for Advanced Research in Business and Economics - INARBE
Versión del editor
Entidades Financiadoras
We gratefully acknowledge financial support from the Spanish Ministry of Science and Innovation (PID2019-104304GB-I00/AEI/10.13039/50110 0 011033). In addition, Ana González-Urteaga acknowledges financial support from the Ministry of Science, Innovation, and Universities through grant PGC2018-095072-B-I00.