Uncertain tone, asset volatility and credit default swap spreads

IF 2.9 3区 管理学 Q2 BUSINESS, FINANCE Journal of Contemporary Accounting & Economics Pub Date : 2023-09-22 DOI:10.1016/j.jcae.2023.100380
Hitesh Doshi , Saurin Patel , Srikanth Ramani , Matthew Sooy
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Abstract

We examine the relationship between uncertain linguistic tone and credit default swap (CDS) spreads. Using an event study approach, we first show that uncertain linguistic tone in 10-Q/K filings is positively associated with CDS spread changes incremental to positive and negative tone and incremental to the response implied by equity market reactions to the same information. We further demonstrate that the relationship of uncertain tone to CDS spreads manifests largely through its impact on asset volatility. We show that this effect is driven by firms with high leverage and is stronger among firms with shorter relative to longer maturities. Our findings contribute to growing research into credit market reactions to non-quantitative information by demonstrating a positive relationship between credit market responses and uncertainty disclosure language, and that this relationship is mediated by investors’ implied asset volatility estimates.

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不确定的基调,资产波动和信用违约互换价差
我们研究了不确定语言语调与信用违约互换(CDS)价差之间的关系。使用事件研究方法,我们首先表明,10-Q/K文件中的不确定语言语气与CDS价差变化呈正相关,正向和负向语气递增,股票市场对相同信息的反应隐含的反应递增。我们进一步证明,不确定基调与CDS价差的关系主要通过其对资产波动性的影响来体现。我们表明,这种效应是由高杠杆的公司驱动的,并且在相对于较长期限的较短期限的公司中更为强烈。我们的研究结果通过证明信贷市场反应与不确定性披露语言之间的正相关关系,促进了信贷市场对非定量信息反应的研究,并且这种关系是由投资者的隐含资产波动率估计介导的。
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来源期刊
CiteScore
6.00
自引率
3.00%
发文量
24
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