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Accounting Information in the Bond Market : The Financial Distress Perspective

Title data

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

Abstract in another language

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.

Further data

Item Type: Working paper, Diskussionspapier
Keywords: Bond market; Financial distress; Information signals
Subject classification: JEL Classification: G01, M4, M41
Institutions of the University: Faculties > Faculty of Law, Business and Economics > Department of Business Administration > Junior Professorship Auditing > Junior Professorship Auditing - Juniorprof. Dr. Thomas Loy
Profile Fields > Emerging Fields > Governance and Responsibility
Faculties
Faculties > Faculty of Law, Business and Economics
Faculties > Faculty of Law, Business and Economics > Department of Business Administration
Faculties > Faculty of Law, Business and Economics > Department of Business Administration > Junior Professorship Auditing
Profile Fields
Profile Fields > Emerging Fields
Result of work at the UBT: Yes
DDC Subjects: 300 Social sciences > 330 Economics
Date Deposited: 07 Jul 2017 05:58
Last Modified: 04 Apr 2019 05:40
URI: https://eref.uni-bayreuth.de/id/eprint/38413