The Other Information Risk Effect of Ohlson’s Model on Corporate Bond Yield Spreads

• Main Authors: Te-An Chiu, 邱德安
• Other Authors: 廖咸興
• Format: Others
• Language: en_US
• Published: 2011
• Online Access: http://ndltd.ncl.edu.tw/handle/23472341505597068073

碩士 === 國立臺灣大學 === 財務金融學研究所 === 99 === This study evaluates the impact of the “other information” generated by Ohlson’s model on firm credit risk as captured by bond yield spreads. The empirical results of this research show that the other information, which represents the all value-relevant information in the future, has significant and negative effects on corporate bond yield spreads after controlling for well-known variables such as leverage, equity volatility, credit rating and information asymmetry. In addition, this work also finds that the other information volatility significantly and positively relates to bond yield spreads due to an increase in variations of firms’ future asset value distributions. These results reveal that the other information conveys favorable information about firm credit risk.