Credit default swap spreads and annual report readability

被引:23
|
作者
Hu N. [1 ,2 ]
Liu L. [3 ]
Zhu L. [4 ]
机构
[1] School of Management, Xi’an Jiaotong University, Xi’an
[2] Howe School of Technology Management, Stevens Institute of Technology, Hoboken, NJ
[3] College of Business, University of Wisconsin, Eau Claire, WI
[4] College of Business Administration, California State University, Long Beach, CA
关键词
10-K; Annual report readability; Credit default swap (CDS); Credit risk;
D O I
10.1007/s11156-017-0639-8
中图分类号
学科分类号
摘要
This paper investigates whether annual report readability matters to CDS market participants and how it affects their evaluation on a firm’s credit risk, as measured by CDS spreads. We find that the less readable the annual reports, the higher the CDS spreads. Furthermore, the impact of readability on CDS spreads is more concentrated on firms with high information asymmetry and with investment grade ratings. Our results suggest that investors take into account the readability in their view of the firms’ credit risk. Creditors appear to suffer higher cost on CDS protection of the debts if the underlying firms have less readable annual reports. © 2017, Springer Science+Business Media New York.
引用
收藏
页码:591 / 621
页数:30
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