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
相关论文
共 50 条
  • [21] Do credit supply shocks affect fertility choices??
    Kim, Jeong Ho
    Lee, Heebum
    Lee, Sung Kwan
    JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE, 2022, 34
  • [22] Do Credit Constraints Affect SME Investment and Employment?
    Gerlach-Kristen, Petra
    O'Connell, Brian
    O'Toole, Conor
    ECONOMIC AND SOCIAL REVIEW, 2015, 46 (01) : 51 - 86
  • [23] Do Credit Ratings Really Affect Capital Structure ?
    Kemper, Kristopher
    Rao, Ramesh
    FINANCIAL REVIEW, 2013, 48 (04) : 573 - 595
  • [24] Large Banks and Efficient Banks: how Do they Influence Credit Supply and Default Risk?
    Liu, Bo
    Shilling, James D.
    Sing, Tien Foo
    JOURNAL OF FINANCIAL SERVICES RESEARCH, 2020, 57 (01) : 1 - 28
  • [25] How changes in market conditions affect screening activity, credit risk, and the lending behaviour of banks
    Papanikolaou, Nikolaos I.
    EUROPEAN JOURNAL OF FINANCE, 2019, 25 (09): : 856 - 875
  • [26] Large Banks and Efficient Banks: how Do they Influence Credit Supply and Default Risk?
    Bo Liu
    James D. Shilling
    Tien Foo Sing
    Journal of Financial Services Research, 2020, 57 : 1 - 28
  • [27] How does credit risk affect cost management strategies? Evidence on the initiation of credit default swap and sticky cost behavior
    Dai, Jing
    Hu, Nan
    Huang, Rong
    Yan, Yan
    JOURNAL OF CORPORATE FINANCE, 2023, 80
  • [28] CREDIT FOR WOMEN - HOW DO YOU RATE
    SMITH, LC
    TEXAS AGRICULTURAL PROGRESS, 1979, 25 (02): : 15 - 16
  • [29] How did increased competition affect credit ratings?
    Becker, Bo
    Milbourn, Todd
    JOURNAL OF FINANCIAL ECONOMICS, 2011, 101 (03) : 493 - 514
  • [30] Triglycerides: How Much Credit Do They Deserve?
    Kohli, Payal
    Cannon, Christopher P.
    MEDICAL CLINICS OF NORTH AMERICA, 2012, 96 (01) : 39 - +
12345