Testing the Transparency Implications of Mandatory IFRS Adoption: The Spread/Maturity Relation of Credit Default Swaps
基于模型假设，检验强制采用国际财务报告准则是否提高了会计透明度，发现信用违约互换利差降低且利差/期限关系的斜率和凸度增加，尤其对透明度低的企业影响更大。
This study tests whether international financial reporting standards (IFRS) adoption increased accounting transparency based on model-driven hypotheses. Duffie and Lando [Duffie D, Lando D (2001) Term structures of credit spreads with incomplete accounting information. Econometrica 69(3):633–644] show that changes to accounting transparency affect the spread/maturity relation of credit default swap (CDS) instruments in very specific ways. Consistent with their model, we find that CDS spreads are lower across maturities following the adoption of IFRS, and the slope and concavity of the CDS spread/maturity relation are higher. These changes did not occur to the spread/maturity relation of a control sample of CDS instruments. Predicted changes apply more intensely to firms with low pre-IFRS transparency. Overall, this study provides strong evidence that IFRS adoption increased accounting transparency. This paper was accepted by Mary Barth, accounting.