Aggregate Accounting Data and the Prediction of Credit Risk

IF 2 Q2 BUSINESS, FINANCE

International Journal of Accounting Pub Date : 2019-04-16 DOI:10.1142/S109440601950001X

Dimitrios Kousenidis, Anestis C. Ladas, Christos I. Negkakis

引用次数: 5

Abstract

A recent area of accounting research concerns the ability of changes in aggregate earnings to predict various macroeconomic fundamentals. We extend this line of research and examine whether changes in aggregate earnings convey information regarding the changes in future sovereign risk, which is considered a proxy for changes in aggregate risk. The results of the study indicate that aggregate earnings changes have predictive ability for sovereign credit risk. This result persists even after controlling for liquidity and indicators of macroeconomic imbalance, as well as under alternative research specifications. We also find that in some of the research specifications, future sovereign credit risk is affected by earnings management. In general, our results point towards the presence of significant information in earnings that is related to future sovereign risk.

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汇总会计数据与信用风险预测

最近会计研究的一个领域涉及总收益变化预测各种宏观经济基本面的能力。我们扩展了这一研究范围，并研究了总收益的变化是否传达了有关未来主权风险变化的信息，这被认为是总风险变化的代表。研究结果表明，总收益变动对主权信用风险具有预测能力。即使在控制了流动性和宏观经济失衡指标，以及在替代研究规范下，这一结果仍然存在。我们还发现，在一些研究规范中，未来主权信用风险受到盈余管理的影响。总的来说，我们的研究结果表明，收益中存在与未来主权风险相关的重要信息。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Accounting BUSINESS, FINANCE-

CiteScore

1.20

自引率

0.00%

发文量

期刊介绍： The aim of The International Journal of Accounting is to advance the academic and professional understanding of accounting theory, policies and practice from the international perspective and viewpoint. The Journal editorial recognizes that international accounting is influenced by a variety of forces, e.g., governmental, political and economic. Thus, the primary criterion for manuscript evaluation is the incremental contribution to international accounting literature and the forces that impact the field. The Journal aims at understanding the present and potential ability of accounting to aid in analyzing and interpreting international economic transactions and the economic consequences of such reporting. These transactions may be within a profit or non-profit environment. The Journal encourages a broad view of the origins and development of accounting with an emphasis on its functions in an increasingly interdependent global economy. The Journal also welcomes manuscripts that help explain current international accounting practices, with related theoretical justifications, and identify criticisms of current policies and practice. Other than occasional commissioned papers or special issues, all the manuscripts published in the Journal are selected by the editors after the normal double-blind refereeing process.