메뉴 건너뛰기




Volumn 75, Issue 1, 2005, Pages 53-84

Accounting transparency and the term structure of credit spreads

Author keywords

Accounting transparency; Corporate disclosure quality; Term structure of credit spreads

Indexed keywords


EID: 11044238574     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2004.07.002     Document Type: Article
Times cited : (283)

References (38)
  • 1
    • 0034562599 scopus 로고    scopus 로고
    • Corporate disclosure practices, institutional investors, and stock return volatility
    • B.J. Bushee C.F. Noe Corporate disclosure practices, institutional investors, and stock return volatility Journal of Accounting Research 38 2000 171-202
    • (2000) Journal of Accounting Research , vol.38 , pp. 171-202
    • Bushee, B.J.1    Noe, C.F.2
  • 2
    • 11044227762 scopus 로고    scopus 로고
    • Modeling credit risk with partial information
    • Unpublished working paper, Cornell University
    • Cetin, U., Jarrow, R., Protter, P., Yildirim, Y., 2003. Modeling credit risk with partial information. Unpublished working paper, Cornell University.
    • (2003)
    • Cetin, U.1    Jarrow, R.2    Protter, P.3    Yildirim, Y.4
  • 3
    • 0039107315 scopus 로고    scopus 로고
    • Do credit spreads reflect stationary leverage ratios?
    • P. Collin-Dufresne R. Goldstein Do credit spreads reflect stationary leverage ratios? Journal of Finance 56 2001 1929-1958
    • (2001) Journal of Finance , vol.56 , pp. 1929-1958
    • Collin-Dufresne, P.1    Goldstein, R.2
  • 5
    • 2442641239 scopus 로고    scopus 로고
    • Are jumps in corporate bond yields priced? Modeling contagion via the updating of beliefs
    • Unpublished working paper, Carnegie Mellon University
    • Collin-Dufresne, P., Goldstein, R., Helwege, J., 2002. Are jumps in corporate bond yields priced? Modeling contagion via the updating of beliefs. Unpublished working paper, Carnegie Mellon University.
    • (2002)
    • Collin-Dufresne, P.1    Goldstein, R.2    Helwege, J.3
  • 6
    • 11044228289 scopus 로고    scopus 로고
    • CreditGrades Technical Document
    • CreditGrades Technical Document, 2002. http://www.creditgrades.com/resources/pdf/CGtechdoc.pdf.
    • (2002)
  • 7
    • 0030553833 scopus 로고    scopus 로고
    • Estimating the term structure of interest rates for monetary policy analysis
    • M. Dahlquist L. Svensson Estimating the term structure of interest rates for monetary policy analysis Scandinavian Journal of Economics 98 1996 163-183
    • (1996) Scandinavian Journal of Economics , vol.98 , pp. 163-183
    • Dahlquist, M.1    Svensson, L.2
  • 9
    • 0033477947 scopus 로고    scopus 로고
    • Estimating the price of default risk
    • G. Duffee Estimating the price of default risk Review of Financial Studies 12 1999 197-226
    • (1999) Review of Financial Studies , vol.12 , pp. 197-226
    • Duffee, G.1
  • 10
    • 0034986069 scopus 로고    scopus 로고
    • Term structure of credit spreads with incomplete accounting information
    • D. Duffie D. Lando Term structure of credit spreads with incomplete accounting information Econometrica 69 2001 633-664
    • (2001) Econometrica , vol.69 , pp. 633-664
    • Duffie, D.1    Lando, D.2
  • 12
    • 4344615968 scopus 로고    scopus 로고
    • Structural models of corporate bond pricing: An empirical analysis
    • Y. Eom J. Helwege J. Huang Structural models of corporate bond pricing: An empirical analysis Review of Financial Studies 17 2004 499-544
    • (2004) Review of Financial Studies , vol.17 , pp. 499-544
    • Eom, Y.1    Helwege, J.2    Huang, J.3
  • 13
    • 11044237652 scopus 로고    scopus 로고
    • Credit and liquidity risk
    • Unpublished working paper, McGill University
    • Ericsson, J., Renault, O., 2001. Credit and liquidity risk. Unpublished working paper, McGill University.
    • (2001)
    • Ericsson, J.1    Renault, O.2
  • 14
    • 0011648033 scopus 로고
    • Performance measure congruity and diversity in multitask principal-agent relations
    • G.A. Feltham J. Xie Performance measure congruity and diversity in multitask principal-agent relations Accounting Review 69 1994 429-453
    • (1994) Accounting Review , vol.69 , pp. 429-453
    • Feltham, G.A.1    Xie, J.2
  • 15
    • 11044222176 scopus 로고    scopus 로고
    • Adverse selection with re-trade
    • Unpublished working paper, New York University
    • Gârleanu, N., Pedersen, L.H., 2003. Adverse selection with re-trade. Unpublished working paper, New York University.
    • (2003)
    • Gârleanu, N.1    Pedersen, L.H.2
  • 16
    • 11044221366 scopus 로고    scopus 로고
    • Correlated default with incomplete information
    • Unpublished working paper, Humboldt University
    • Giesecke, K., 2001. Correlated default with incomplete information. Unpublished working paper, Humboldt University.
    • (2001)
    • Giesecke, K.1
  • 17
    • 0039520045 scopus 로고    scopus 로고
    • The slope of the credit yield curve for speculative grade issuers
    • J. Helwege C.M. Turner The slope of the credit yield curve for speculative grade issuers Journal of Finance 54 1999 1869-1884
    • (1999) Journal of Finance , vol.54 , pp. 1869-1884
    • Helwege, J.1    Turner, C.M.2
  • 18
    • 11044222373 scopus 로고    scopus 로고
    • Is liquidity reflected in bond yields? Evidence from the Euro corporate bond market
    • Unpublished orking paper, Erasmus University
    • Houweling, P., Mentink, A., Vorst, T., 2002. Is liquidity reflected in bond yields? Evidence from the Euro corporate bond market. Unpublished working paper, Erasmus University.
    • (2002)
    • Houweling, P.1    Mentink, A.2    Vorst, T.3
  • 19
    • 0009894603 scopus 로고    scopus 로고
    • How much of the corporate-treasury yield spread is due to credit risk?
    • Unpublished working paper, Stanford University
    • Huang, M., Huang, J., 2002. How much of the corporate-treasury yield spread is due to credit risk? Unpublished working paper, Stanford University.
    • (2002)
    • Huang, M.1    Huang, J.2
  • 20
    • 0141617252 scopus 로고    scopus 로고
    • Default risk and diversification: Theory and applications
    • Unpublished working paper, University of California-Irvine
    • Jarrow, R.A., Lando, D., Yu, F., 2001. Default risk and diversification: Theory and applications. Unpublished working paper, University of California-Irvine.
    • (2001)
    • Jarrow, R.A.1    Lando, D.2    Yu, F.3
  • 21
    • 84887676364 scopus 로고
    • Contingent claims analysis of corporate capital structures
    • E.P. Jones S.P. Mason E. Rosenfeld Contingent claims analysis of corporate capital structures An empirical investigation Journal of Finance 39 1984 611-625
    • (1984) Journal of Finance , vol.39 , pp. 611-625
    • Jones, E.P.1    Mason, S.P.2    Rosenfeld, E.3
  • 22
    • 11044232160 scopus 로고    scopus 로고
    • On the cross-sectional and time-series relation between firm characteristics and corporate bond yield spreads
    • Unpublished working paper, University of Wiscosin-Milwaukee
    • King, D., Khang, K., 2002. On the cross-sectional and time-series relation between firm characteristics and corporate bond yield spreads. Unpublished working paper, University of Wiscosin-Milwaukee.
    • (2002)
    • King, D.1    Khang, K.2
  • 23
    • 21344483941 scopus 로고
    • Cross-sectional determinants of analyst ratings of corporate disclosures
    • M. Lang R. Lundholm Cross-sectional determinants of analyst ratings of corporate disclosures Journal of Accounting Research 31 1993 246-271
    • (1993) Journal of Accounting Research , vol.31 , pp. 246-271
    • Lang, M.1    Lundholm, R.2
  • 24
    • 0030305317 scopus 로고    scopus 로고
    • Corporate disclosure policy and analyst behavior
    • M. Lang R. Lundholm Corporate disclosure policy and analyst behavior Accounting Review 71 1996 467-492
    • (1996) Accounting Review , vol.71 , pp. 467-492
    • Lang, M.1    Lundholm, R.2
  • 25
    • 84993608428 scopus 로고
    • Corporate debt value, bond covenants, and optimal capital structure
    • H.E. Leland Corporate debt value, bond covenants, and optimal capital structure Journal of Finance 49 1994 1213-1252
    • (1994) Journal of Finance , vol.49 , pp. 1213-1252
    • Leland, H.E.1
  • 26
    • 11044221972 scopus 로고    scopus 로고
    • To tell or not to tell: The value of corporate disclosure
    • Unpublished working paper, Santa Clara University
    • Mazumdar, S.C., Sarin, A., Sengupta, P., 2002. To tell or not to tell: The value of corporate disclosure. Unpublished working paper, Santa Clara University.
    • (2002)
    • Mazumdar, S.C.1    Sarin, A.2    Sengupta, P.3
  • 27
    • 0000808665 scopus 로고
    • On the pricing of corporate debt: The risk structure of interest rates
    • R.C. Merton On the pricing of corporate debt: The risk structure of interest rates Journal of Finance 29 1974 449-470
    • (1974) Journal of Finance , vol.29 , pp. 449-470
    • Merton, R.C.1
  • 28
    • 0001491925 scopus 로고
    • Parsimonious modeling of yield curves
    • C.R. Nelson A.F. Siegel Parsimonious modeling of yield curves Journal of Business 60 1987 473-489
    • (1987) Journal of Business , vol.60 , pp. 473-489
    • Nelson, C.R.1    Siegel, A.F.2
  • 29
    • 11044231726 scopus 로고    scopus 로고
    • Liquidity and bond market spreads
    • Unpublished working paper, Birbeck College
    • Perraudin, W., Taylor, A., 2002. Liquidity and bond market spreads. Unpublished working paper, Birbeck College.
    • (2002)
    • Perraudin, W.1    Taylor, A.2
  • 30
    • 0032359234 scopus 로고    scopus 로고
    • Corporate disclosure quality and the cost of debt
    • P. Sengupta Corporate disclosure quality and the cost of debt Accounting Review 73 1998 459-474
    • (1998) Accounting Review , vol.73 , pp. 459-474
    • Sengupta, P.1
  • 31
    • 0037273318 scopus 로고    scopus 로고
    • Disclosure and asset returns
    • H.S. Shin Disclosure and asset returns Econometrica 71 2003 105-133
    • (2003) Econometrica , vol.71 , pp. 105-133
    • Shin, H.S.1
  • 32
    • 0039054668 scopus 로고    scopus 로고
    • Options on leveraged equity: Theory and empirical tests
    • K.B. Toft B. Prucyk Options on leveraged equity: Theory and empirical tests Journal of Finance 52 1997 1151-1180
    • (1997) Journal of Finance , vol.52 , pp. 1151-1180
    • Toft, K.B.1    Prucyk, B.2
  • 33
    • 4243473363 scopus 로고    scopus 로고
    • Default risk in equity returns
    • Unpublished working paper, Columbia University
    • Vassalou, M., Xing, Y., 2003. Default risk in equity returns. Unpublished working paper, Columbia University.
    • (2003)
    • Vassalou, M.1    Xing, Y.2
  • 36
    • 0010623510 scopus 로고    scopus 로고
    • Lehman Brothers fixed income database
    • Unpublished working paper, University of Houston
    • Warga, A., 1998. Lehman Brothers fixed income database. Unpublished working paper, University of Houston.
    • (1998)
    • Warga, A.1
  • 37
    • 84984199207 scopus 로고
    • Disclosure policy, information asymmetry, and liquidity in equity markets
    • M. Welker Disclosure policy, information asymmetry, and liquidity in equity markets Contemporary accounting research 11 1995 801-827
    • (1995) Contemporary Accounting Research , vol.11 , pp. 801-827
    • Welker, M.1
  • 38
    • 0001290494 scopus 로고    scopus 로고
    • The term structure of credit spreads with jump risk
    • C.S. Zhou The term structure of credit spreads with jump risk Journal of Banking and Finance 25 2001 2015-2040
    • (2001) Journal of Banking and Finance , vol.25 , pp. 2015-2040
    • Zhou, C.S.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.