Term Structures of Credit Spreads with Incomplete Accounting Information
研究债券投资者无法直接观察发行人资产、仅依赖定期且不完美的会计报告时，信用利差期限结构的形成机制，推导出违约到达强度并刻画信用利差与会计信息的关系。
We study the implications of imperfect information for term structures of credit spreads on corporate bonds. We suppose that bond investors cannot observe the issuer's assets directly, and receive instead only periodic and imperfect accounting reports. For a setting in which the assets of the firm are a geometric Brownian motion until informed equityholders optimally liquidate, we derive the conditional distribution of the assets, given accounting data and survivorship. Contrary to the perfect-information case, there exists a default-arrival intensity process. That intensity is calculated in terms of the conditional distribution of assets. Credit yield spreads are characterized in terms of accounting information. Generalizations are provided.