Information and credit risk: Evidence from panel data

This paper investigates the relevance of accounting information to debt capital providers. Moreover this empirical work provides further evidence on the determinants of CDS spreads and, thus, it compares how large proportions these two types of information sources can really explain. The empirical approach uses a sample of US manufacturing firms as well as the methodology of panel data. The empirical findings display that accounting information is a significant source of information to the credit markets, i.e. the variation in CDS spreads.