Accounting-based versus market-based cross-sectional models of CDS spreads

Abstract

The relevance of accounting data to providers of capital has been strongly debated. In this paper we provide compelling evidence that accounting metrics are important to providers of debt capital over and above that contained in financial markets. Models of firm distress are mostly either purely accounting-based (e.g. Altman, 1968; Ohlson, 1980) or purely… (More)

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