Credit risk: the role of market, accounting and macroeconomic information - evidence from US firms and a FAVAR model
by Nicholas Apergis; Sofia Eleftheriou
International Journal of Banking, Accounting and Finance (IJBAAF), Vol. 4, No. 4, 2012

Abstract: This paper examines the role of accounting, market and macroeconomic information in explaining the cross-sectional variation of credit default swap spreads. The study proposes a panel FAVAR methodological approach to combine the additional predictions from a long list of accounting, market and macroeconomic fundamental variables. A comprehensive analysis based on 171 US manufacturing firms and spanning the period 2003-2011, shows that variance decompositions support the dominance of the market environment over the accounting and the macroeconomic environments in providing information to the credit markets.

Online publication date: Sat, 23-Aug-2014

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