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Accounting Information in the Bond Market – The Financial Distress Perspective

Titelangaben

Loy, Thomas ; Hofmann, Ronny K.:
Accounting Information in the Bond Market – The Financial Distress Perspective.
Bayreuth and Madrid , 2017 . - 35 S.
DOI: 10.2139/ssrn.2134547

Abstract

This study contributes to the literature in two ways. First, we provide evidence that accounting accruals and cash flows are not associated with corporate bond returns during periods with a low level of financial distress. However, using OLS estimations we find a significant association of accounting accruals with annual bond returns during financial distress periods. These results suggest that the perceived relevance of accounting information hinges on the level of distress in the economy. Second, we use semi-parametric estimation techniques (quantile regressions) to mitigate concerns about the coefficients´ dependence on conditional quantiles of bond returns. Our results show that accounting information is significantly associated in higher quantiles of bond returns and hence, the association of accruals and cash flows seems to depend on the quantile distribution of the bond returns. Overall, both analyses, OLS and quantile regression, provide evidence that the relevance of accounting information in the bond market cannot be investigated without additional information that may have an impact on the credibility of the information provided in financial reports.

Weitere Angaben

Publikationsform: Preprint, Postprint, Working paper, Diskussionspapier
Keywords: Bond market; Financial distress; Information signals
Fachklassifikationen: JEL Classification: G01, M4, M41
Institutionen der Universität: Fakultäten > Rechts- und Wirtschaftswissenschaftliche Fakultät > Fachgruppe Betriebswirtschaftslehre > Juniorprofessur Wirtschaftsprüfung > Juniorprofessur Wirtschaftsprüfung - Juniorprof. Dr. Thomas Loy
Profilfelder > Emerging Fields > Governance and Responsibility
Fakultäten
Fakultäten > Rechts- und Wirtschaftswissenschaftliche Fakultät
Fakultäten > Rechts- und Wirtschaftswissenschaftliche Fakultät > Fachgruppe Betriebswirtschaftslehre
Fakultäten > Rechts- und Wirtschaftswissenschaftliche Fakultät > Fachgruppe Betriebswirtschaftslehre > Juniorprofessur Wirtschaftsprüfung
Profilfelder
Profilfelder > Emerging Fields
Titel an der UBT entstanden: Ja
Themengebiete aus DDC: 300 Sozialwissenschaften > 330 Wirtschaft
Eingestellt am: 07 Jul 2017 05:58
Letzte Änderung: 07 Jul 2017 05:58
URI: https://eref.uni-bayreuth.de/id/eprint/38413