.png){kind=icon}
返回
Asset volatility
.png){kind=icon}
OA
AI
DOI：10.1007/s11142-017-9431-1.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
We examine whether fundamental measures of volatility are incremental to market-based measures of volatility in (i) predicting bankruptcies (out of sample), (ii) explaining cross-sectional variation in credit spreads, and (iii) explaining future credit excess returns. Our fundamental measures of volatility include (i) historical volatility in profitability, margins, turnover, operating income growth, and sales growth; (ii) dispersion in analyst forecasts of future earnings; and (iii) quantile regression forecasts of the interquartile range of the distribution of profitability. We find robust evidence that these fundamental measures of volatility improve out-of-sample forecasts of bankruptcy and help explain cross-sectional variation in credit spreads. This suggests that an analysis of credit risk can be enhanced with a detailed analysis of fundamental information. As a test case of the benefit of volatility forecasting, we document an improved ability to forecast future credit excess returns, particularly when using fundamental measures of volatility.
Keyword:
credit spreads
volatility
bankruptcy
default
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
5.8
论文数:
1.1K
被引数:
6.4K
机构
引用论文
分享收藏Rating Agency Adjustments to GAAP Financial Statements and Their Effect on Ratings and Credit Spreads.png)
ACCOUNTING REVIEW
ACCOUNTING REVIEWIF4.4
PREAI
分享收藏Do differences in financial reporting attributes impair the predictive ability of financial ratios for bankruptcy?财务报告特征的差异是否会削弱财务比率对破产的预测能力？
PREAI
分享收藏分享收藏分享收藏
查看更多内容