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The Effect of the default risk of debt on the earnings response coefficient
The objective of this study is to examine the effect of the default risk of debt on the relation between accounting earnings and stock returns. Recent research suggests that measurements of equity beta do not capture all dimensions of riskiness of equity. The default risk of debt may help explain how accounting earnings are linked to stock returns because the default risk of debt may capture some elements of riskiness of equity that are not captured by equity beta. We document empirically that the coefficient relating unexpected changes in earnings to abnormal stock returns (the earnings response coefficient or ERC) is negatively related to the default risk of debt as measured by bond ratings.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| AR6902 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | USA: American Accounting Association 1994 |
|---|---|
| Edisi | Vol. 69, No. 2, Apr., 1994 |
| Subjek | Financial leverage Earnings persistence Bond ratings Capital Asset Pricing Model (CAPM) Earnings Response Coefficient (ERC) default risk of debt |
| ISBN/ISSN | 00014826 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 8 p. |
| Info Detail Spesifik | The Accounting Review |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |