The Library
Testing the transparency implications of mandatory IFRS adoption : the spread/maturity relation of credit default swaps
Tools
Bhat, Gauri, Callen, Jeffrey L. and Segal, Dan (2016) Testing the transparency implications of mandatory IFRS adoption : the spread/maturity relation of credit default swaps. Management Science, 62 (12). pp. 3472-3493. doi:10.1287/mnsc.2015.2318 ISSN 0025-1909.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1287/mnsc.2015.2318
Abstract
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.
Item Type: | Journal Article | ||||||||
---|---|---|---|---|---|---|---|---|---|
Divisions: | Faculty of Social Sciences > Warwick Business School > Accounting Faculty of Social Sciences > Warwick Business School |
||||||||
Journal or Publication Title: | Management Science | ||||||||
Publisher: | Institute for Operations Research and the Management Sciences (I N F O R M S) | ||||||||
ISSN: | 0025-1909 | ||||||||
Official Date: | 2016 | ||||||||
Dates: |
|
||||||||
Volume: | 62 | ||||||||
Number: | 12 | ||||||||
Page Range: | pp. 3472-3493 | ||||||||
DOI: | 10.1287/mnsc.2015.2318 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access |
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |