Voluntary forward-looking disclosures and default risk pricing
研究了管理层预测报告中的文本和数值信息如何影响信用违约互换（CDS）溢价，发现文本质量会调节两种信息对违约风险定价的作用，表明CDS交易对手会通过文本质量验证披露信息的可靠性。
This study examines the effects of textual and numerical information contained in voluntary forward-looking management forecast reports (MFRs) on the pricing of default risk. We find that abnormal changes in credit default swap (CDS) premiums around MFR issuance dates are inversely associated with textual quality and the extent of positive textual news conveyed in the MFR. Furthermore, we find that the negative association of CDS premiums with either textual or numerical news is qualified by the MFR’s textual quality. Collectively, our evidence implies that CDS counterparties use textual quality to verify the quality of the information disclosed in both textual and numerical modes before impounding it into the default risk price. These findings suggest that multimodal verification can enhance the overall information quality of incentive-driven disclosures.