The Perception of Risk Disclosure Characteristics on the Credit Default Swap Market—An Automated Analysis
研究了信用违约互换（CDS）价差与风险披露特征（如预期风险影响和风险管理信息）之间的关联，发现CDS投资者能从中获益，但对企业而言利弊取决于投资者初始风险感知和披露的风险因素。
SYNOPSIS This paper evaluates the associations between credit default swap (CDS) spreads and risk disclosure characteristics, especially the expected qualitative and the expected quantitative impacts of risks on companies' future performance and information on risk management. We find that CDS investors can benefit from information on expected risk impacts and from information on risk management, which is important for the current discussion of the Securities and Exchange Commission (SEC) on risk disclosure regulation. However, for companies, the disclosure of such information can be either beneficial or costly, depending on the initial risk perception of CDS investors prior to the publication of risk disclosures and on the disclosed risk factors. Furthermore, we expand the literature by automatically measuring the mentioned risk disclosure characteristics using dictionary-based approaches.