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- Publisher Website: 10.1016/j.jmse.2021.08.004
- WOS: WOS:000788276200004
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Article: How Do “Gatekeepers” Affect Credit Risk?
Title | How Do “Gatekeepers” Affect Credit Risk? |
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Authors | |
Issue Date | 2021 |
Citation | Journal of Management Science and Engineering, 2021, v. 6 n. 3, p. 295-311 How to Cite? |
Abstract | This study investigates the relationship between auditor tenure and credit default swap (CDS) spreads of U.S. firms based on quantile regression. After allowing for common determinants of CDS spreads, auditor tenure exerts both statistically and economically significant additional impacts on the CDS market. Furthermore, there are differential effects of common CDS spread determinants and auditor tenure. While common determinants of CDS spreads (e.g., leverage, volatility, risk free rate, credit ratings, and earnings) have monotonically increasing impacts when CDS spreads (and their changes) are increasingly higher, auditor tenure primarily has the impact when CDS spreads are of low or median levels for less risky firms. |
Persistent Identifier | http://hdl.handle.net/10722/312717 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Li, X | - |
dc.contributor.author | Zhang, X | - |
dc.contributor.author | Zhou, Y | - |
dc.date.accessioned | 2022-05-12T10:54:36Z | - |
dc.date.available | 2022-05-12T10:54:36Z | - |
dc.date.issued | 2021 | - |
dc.identifier.citation | Journal of Management Science and Engineering, 2021, v. 6 n. 3, p. 295-311 | - |
dc.identifier.uri | http://hdl.handle.net/10722/312717 | - |
dc.description.abstract | This study investigates the relationship between auditor tenure and credit default swap (CDS) spreads of U.S. firms based on quantile regression. After allowing for common determinants of CDS spreads, auditor tenure exerts both statistically and economically significant additional impacts on the CDS market. Furthermore, there are differential effects of common CDS spread determinants and auditor tenure. While common determinants of CDS spreads (e.g., leverage, volatility, risk free rate, credit ratings, and earnings) have monotonically increasing impacts when CDS spreads (and their changes) are increasingly higher, auditor tenure primarily has the impact when CDS spreads are of low or median levels for less risky firms. | - |
dc.language | eng | - |
dc.relation.ispartof | Journal of Management Science and Engineering | - |
dc.title | How Do “Gatekeepers” Affect Credit Risk? | - |
dc.type | Article | - |
dc.identifier.email | Li, X: xuli1@hku.hk | - |
dc.identifier.authority | Li, X=rp01615 | - |
dc.identifier.doi | 10.1016/j.jmse.2021.08.004 | - |
dc.identifier.hkuros | 332920 | - |
dc.identifier.volume | 6 | - |
dc.identifier.issue | 3 | - |
dc.identifier.spage | 295 | - |
dc.identifier.epage | 311 | - |
dc.identifier.isi | WOS:000788276200004 | - |