Does Other Comprehensive Income Volatility Influence Credit Risk and the Cost of Debt?

被引：20

作者：

Bao, May Xiaoyan ^{[1
]}

Billett, Matthew T. ^{[2
]}

Smith, David B. ^{[3
]}

Unlu, Emre ^{[3
]}

机构：

[1] Univ New Hampshire, Durham, NH 03824 USA

[2] Indiana Univ, Bloomington, IN 47405 USA

[3] Univ Nebraska, Lincoln, NE 68583 USA

来源：

CONTEMPORARY ACCOUNTING RESEARCH | 2020年 / 37卷 / 01期

关键词：

CORPORATE GOVERNANCE; VALUE-RELEVANCE; INFORMATION; INVESTMENT; BANKRUPTCY; MATURITY;

D O I：

10.1111/1911-3846.12548

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the usefulness of other comprehensive income (OCI) to debt investors in nonfinancial companies. Motivated by Merton's (1974) real options framework, we construct a measure of incremental OCI volatility, designed to capture the effect of OCI on overall firm asset volatility, which is a primary driver of credit risk in Merton's (1974) model. We find that the volatility of incremental OCI influences the likelihood of default, credit ratings, and the cost of debt. Overall, our evidence suggests that creditors use information from OCI in their assessment of firm credit risk and in pricing debt contracts.

引用

页码：457 / 484

页数：28

共 37 条

[1]

Allison P. D., 1990, SOCIOL METHODOL, V20, P93, DOI DOI 10.2307/271083

[2] The role of information and financial reporting in corporate governance and debt contracting [J].