https://scholars.lib.ntu.edu.tw/handle/123456789/414397
標題: | Production efficiency uncertainty and corporate credit risk: Structural form credit model perspectives | 作者: | Chen, Tsung Kang HSIEN-HSING LIAO Chen, Wei Lun |
關鍵字: | Asset volatility | Bond yield spread | Credit risk | Production efficiency uncertainty | Structural form credit model | 公開日期: | 1-十二月-2014 | 出版社: | ELSEVIER SCIENCE BV | 卷: | 29 | 起(迄)頁: | 266 | 來源出版物: | Journal of Empirical Finance | 摘要: | © 2014 Elsevier B.V. This study investigates the effect of production efficiency uncertainty (PEU) on firm credit risk from structural form credit model perspectives (e.g. asset volatility) by employing 4376 American manufacturing firms' bond observations from the year 1997 to 2008. We find that PEU is positively related to firm credit risk when controlling for well-known credit risk determinant variables. We also find that booming economic conditions weaken the PEU effect. Finally, our empirical results are robust for the firm-fixed effect issue and the minimum required observations in estimating production efficiency. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414397 | ISSN: | 09275398 | DOI: | https://api.elsevier.com/content/abstract/scopus_id/85028146528 10.1016/j.jempfin.2014.08.003 |
顯示於: | 財務金融學系 |
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