142.信用风险与国际财务报告准则：信用违约互换的案例

Gauri Bhat*, Jeffrey L. Callen**, Dan Segal***

Feb. 2014

*Olin Business School, Washington University in St. Louis, One Brookings Drive, MO 63105, USA; bhat@

**Rotman School of Management, University of Toronto, 105 St. George St., Toronto Ontario, Canada M5S 3E6; callen@rotman.utoronto.ca

*** Arison School of Business, Interdisciplinary Center Herzliya, Israel 46510 and Singapore Management University, Singapore; dsegal@idc.ac.il

Acknowledgements

Bhat gratefully acknowledges the Center for Research in Economics and Strategy (CRES) at the Olin Business School for financial support. Callen gratefully acknowledges the Humanities and Social Sciences Research Council of Canada for financial support. We wish to acknowledge the anonymous reviewer of this Journal for detailed and constructive comments. We wish to thank workshop participants at the University of Missouri-Columbia, University of Notre Dame, University of Waterloo, Washington University in St. Louis, and the Hebrew University of Jerusalem. We also wish to thank conference participants at the 2012 Winter Global Conference on Business and Finance, 2011 University of Minnesota Empirical Accounting Research Conference, 2011 Utah Winter Accounting Conference Program, and the 21st Annual Conference on Financial Economics & Accounting. We also with to acknowledge Richard Carrizosa the discussant at the 2011 Utah conference and Nicole Jenkins the discussant at the 21st Annual Conference on Financial Economics & Accounting

Abstract

This study compares the pricing of credit risk information conveyed by accounting numbers under IFRS relative to local GAAP. We measure the price of credit risk by CDS spreads and focus on three fundamental accounting metrics that inform about credit risk: earnings, leverage and book value equity. Using a difference in differences methodology, we find that while earnings, book value and, to a lesser extent, leverage are significant determinants of credit risk pricing both prior to and after IFRS adoption, the adoption of IFRS did not change the credit risk informativeness of these accounting variables as reflected in CDS spreads. This conclusion is robust to controlling for institutional differences among countries as well as a battery of sensitivity analyses.

Key words: Credit Default Swaps, Credit Risk, IFRS

JEL Classification: M40, M41, G13, G20

Data Availability: All data are publicly available.

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1. Introduction

This study evaluates the impact of the adoption of International Financial Reporting Standards (IFRS) on the relevance of accounting information in pricing credit risk in the over-the-counter Credit Default Swap (CDS) market. IFRS uses a principle-based approach, emphasizes fair value accounting, and aims to promote uniformity and comparability across countries. We compare the information conveyed by accounting information in pricing credit risk under IFRS relative to local Generally Accepted Accounting Principles (GAAP) for countries that adopted IFRS. We focus on three fundamental accounting metrics that inform about credit risk: earnings, leverage and book value equity. We measure the credit risk relevance of each of these accounting metrics by reference to their estimated coefficients in a regression of CDS spreads on these metrics, controlling for other potential determinants of the spread.1 This approach is similar to measuring the value relevance of earnings for equity returns by an Earnings Response Coefficient where CDS spreads replace equity returns.

The role of accounting information in the pricing of credit risk finds theoretical support in the Duffie and Lando (2001) model which explicitly acknowledges the relevance of noisy accounting information as a determinant in the pricing of credit risk. Callen, Livnat and Segal (2009) and Das, Hanouna and Sarin (2009) provide empirical evidence that accounting information has a role in CDS pricing incremental to market information, and other determinants of CDS spreads. Our study is guided by the above prior research that speaks to the importance of accounting information for credit markets and the empirical evidence that directly links accounting information to CDS pricing.

The adoption of IFRS provides a unique research opportunity to examine the impact of financial statement information on the pricing of credit risk because the switch to IFRS for most firms was exogenously mandated by accounting regulators, mitigating

1 In this paper, the term “credit risk relevance” refers to the relevance of accounting information in the pricing of credit risk.

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