Value investing in credit markets

被引：61

作者：

Correia, Maria ^{[1
]}

Richardson, Scott ^{[1
]}

Tuna, Irem ^{[1
]}

机构：

[1] London Business Sch, London NW1 4SA, England

来源：

REVIEW OF ACCOUNTING STUDIES | 2012年 / 17卷 / 03期

关键词：

Credit markets; CDS; Bonds; Default prediction; FINANCIAL RATIOS; CORPORATE-BONDS; TRADING COSTS; RISK; BANKRUPTCY; PREDICTION; RETURNS; TRANSPARENCY; DEFAULT; MODELS;

D O I：

10.1007/s11142-012-9191-x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：572 / 609

页数：38

共 36 条

[1] FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND PREDICTION OF CORPORATE BANKRUPTCY [J].