Accounting transparency and the term structure of credit default swap spreads

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Accounting transparency and the term structure of credit default swap spreads

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dc.contributor.author Bajlum, Claus en_US
dc.contributor.author Tind Larsen, Peter en_US
dc.date.accessioned 2009-02-04T10:26:20Z
dc.date.available 2009-02-04T10:26:20Z
dc.date.issued 2007-10-29T00:00:00Z en_US
dc.identifier.uri http://hdl.handle.net/10398/7189
dc.description.abstract This paper estimates the impact of accounting transparency on the term structure of CDS spreads for a large cross-section of rms. Using a newly developed measure of accounting transparency in Berger, Chen & Li (2006), we nd a downward-sloping term structure of transparency spreads. Estimating the gap between the high and low transparency credit curves at the 1, 3, 5, 7 and 10-year maturity, the transparency spread is insigni cant in the long end but highly signi cant and robust at 20 bps at the 1-year maturity. Furthermore, the eect of accounting transparency on the term structure of CDS spreads is largest for the most risky rms. These results are strongly supportive of the model by Du¢ e & Lando (2001), and add an explanation to the underprediction of short-term credit spreads by traditional structural credit risk models. en_US
dc.format.extent 58 en_US
dc.language eng en_US
dc.relation.ispartofseries Working paper;2007-229 en_US
dc.title Accounting transparency and the term structure of credit default swap spreads en_US
dc.type wp en_US
dc.accessionstatus modt07okt29 nijemo en_US
dc.contributor.corporation Copenhagen Business School. CBS en_US
dc.contributor.department Institut for Finansiering en_US
dc.contributor.departmentshort FI en_US
dc.contributor.departmentuk Department of Finance en_US
dc.contributor.departmentukshort FI en_US
dc.description.notes Primær udgivelse fra CAF Working Papers, Centre for Analytical Finance, University of Aarhus/Aarhus School of Business en_US
dc.idnumber X076270 en_US
dc.publisher.city København en_US
dc.publisher.year 2007 en_US


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