The Direct Relevance of Accounting Information for Credit Default Swap Pricing
研究了会计信息对信用违约互换（CDS）定价的直接作用，发现加入理论定价模型或信用评级后，会计信息的解释力显著下降，表明其更多通过间接渠道影响CDS定价。
Abstract: This paper examines the direct relevance of accounting information for credit default swap (CDS) pricing. Prior research on the impact of accounting information for CDS pricing has neglected to include either the output of theoretical CDS pricing models or credit ratings, both of which should impound credit relevant accounting information. Both in‐ and out‐of‐sample testing results suggest that accounting information's explanatory power for CDS prices is significantly diminished when this additional information is included in regression models. Empirical findings suggest a larger indirect role for accounting information in pricing CDS’, which play an important role in credit risk price discovery.