How do "gatekeepers" affect credit risk?

被引：0
|
作者：
Li, Xu [1 ]
Zhang, Xingtong [2 ]
Zhou, Yinggang [3 ,4 ,5 ]
机构：
[1] Univ Hong Kong, Fac Business & Econ, Beijing 100872, Peoples R China
[2] Renmin Univ China, Sch Finance, Beijing 100872, Peoples R China
[3] Xiamen Univ, Ctr Macroecon Res, Sch Econ, Xiamen 361005, Peoples R China
[4] Xiamen Univ, Dept Finance, Sch Econ, Xiamen 361005, Peoples R China
[5] Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen 361005, Peoples R China
来源：
JOURNAL OF MANAGEMENT SCIENCE AND ENGINEERING | 2021年 / 6卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Credit default swaps; Auditor tenure; Information; Quantile regression; AUDITOR TENURE; QUANTILE REGRESSION; EQUITY VOLATILITY; DEFAULT SWAPS; EARNINGS; QUALITY; DETERMINANTS; SPREADS; MODELS; DEBT;
D O I：
10.1016/j.jmse.2021.08.004
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study investigates the relationship between auditor tenure and credit default swap (CDS) spreads of U.S. firms based on quantile regression. After allowing for common determinants of CDS spreads, auditor tenure exerts both statistically and economically significant additional impacts on the CDS market. Furthermore, there are differential effects of common CDS spread determinants and auditor tenure. While common determinants of CDS spreads (e.g., leverage, volatility, risk free rate, credit ratings, and earnings) have monotonically increasing impacts when CDS spreads (and their changes) are increasingly higher, auditor tenure primarily has the impact when CDS spreads are of low or median levels for less risky firms. (c) 2021 China Science Publishing & Media Ltd. Publishing Services by Elsevier B.V. on behalf of KeAi Communications Co. Ltd.
引用
收藏
页码：295 / 311
页数：17
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