73rd International Atlantic Economic Conference

March 28 - 31, 2012 | Istanbul, Turkey

Information and credit risk: Evidence from panel data

Saturday, 31 March 2012: 5:25 PM
Sofia Eleftheriou, MA , Business Administration, University of Piraeus, Piraeus, Greece
Nicholas Apergis, Ph.D. , Newcastle Campus, Northumbria University, Newcastle upon Tyne, United Kingdom
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.