财务、会计厂别尘颈苍补谤第一百六十九期
发布者:gulei 发布时间：2018-03-01 08:37:52 浏览数： 次 [ ]
演讲题目：Debt Covenant Violations, Credit Default Swap Pricing,and Borrowing Firms’ Accounting Conservatism
演讲者: 陈长龄
滑铁卢大学会计金融学院副教授
演讲时间：2018年3月9日（周五）上午10：00一11：30
演讲地点: 嘉庚二203
主持人： 陈亚盛 教授
参加者：对会计、财务研究有兴趣的师生
讲座介绍: We investigate the impact of debt covenant violations (DCVs) on credit default swap (CDS) pricing, and how DCVs and CDS, combined, affect the relation between DCVs and financial reporting conservatism of borrowing firms. While prior research suggests that lenders insured by CDS contracts reduce their demand of borrowers to report conservatively, we posit that other stakeholders such as large institutional shareholders and non-CDS protected creditors can intervene and demand borrowers to report more conservatively post DCVs, after they observe borrowers increased credit risk from CDS market trading. We find evidence consistent with our proposition. We first show that DCVs induce significant increases in CDS spreads in the trading days subsequent to borrowers’ SEC filing dates, which indicates that borrowing firms’ credit risk increases upon DCVs. Next, we find that borrowing firms’financial reporting becomes more conservative post DCVs, especially when DCVs result in large increases in borrowing firms’ CDS spreads. We also demonstrate that our results are more pronounced for borrowing firms with a large number of creditors or high institutional ownership.
http://sm.xmu.edu.cn/uploadfile/2018/0301/20180301084142930.pdf
