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- Title
The Perception of Risk Disclosure Characteristics on the Credit Default Swap Market—An Automated Analysis.
- Authors
Nagel, Deborah Yvonne; Fuhrmann, Stephan; Tietmeyer, Raphael; Guenther, Thomas W.
- Abstract
SYNOPSIS: This paper evaluates the associations between credit default swap (CDS) spreads and risk disclosure characteristics, especially the expected qualitative and the expected quantitative impacts of risks on companies' future performance and information on risk management. We find that CDS investors can benefit from information on expected risk impacts and from information on risk management, which is important for the current discussion of the Securities and Exchange Commission (SEC) on risk disclosure regulation. However, for companies, the disclosure of such information can be either beneficial or costly, depending on the initial risk perception of CDS investors prior to the publication of risk disclosures and on the disclosed risk factors. Furthermore, we expand the literature by automatically measuring the mentioned risk disclosure characteristics using dictionary-based approaches.
- Subjects
UNITED States. Securities &; Exchange Commission; CREDIT default swaps; RISK perception; DISCLOSURE; BUSINESS enterprises; INFORMATION resources management
- Publication
Accounting Horizons, 2022, Vol 36, Issue 4, p157
- ISSN
0888-7993
- Publication type
Article
- DOI
10.2308/HORIZONS-19-058