Revisiting the Relation between the Default Risk of Debt and the Earnings Response Coefficient
检验了盈余反应系数与违约风险的关系，发现加入预期盈余增长后，债券评级与盈余反应系数的关联不显著，债务权益比与盈余反应系数的关联减弱但仍显著，表明违约风险代理变量部分反映了预期盈余增长。
Theory suggests that earnings response coefficients (ERCs) are positively associated with expected earnings growth and negatively associated with equity risk. Dhaliwal and Reynolds (1994) (DR) hypothesize that equity beta fails to capture a default risk component of equity risk and demonstrate that ERCs are negatively associated with two measures of default risk—bond ratings and debt/equity ratios—in a regression model that contains equity beta. Bond ratings and debt/equity ratios are associated with expected earnings growth. This paper examines how the association between ERCs and default risk is impacted by the inclusion of expected earnings growth in the model. The relation between ERCs and bond ratings is not significant, while the association between ERCs and debt/equity ratios is weakened but is still significant. These findings suggest part of the reason for the negative association between ERCs and default risk in DR is that their default risk proxies also reflect expected earnings growth. In fact, there is no incremental association between ERCs and default risk when equity beta, bond ratings, and expected earnings growth are in the model.