Credit Risk, Idiosyncratic Risk, and Earnings Management
| Autor: | Chih-Chuan Chang, 張志全 |
|---|---|
| Rok vydání: | 2012 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 100 This paper examines the effect of the idiosyncratic risk of a firm on its credit risk and the relationship between the credit risk and accrual or real earnings management under considering idiosyncratic risk. We further investigate the effects of composition of real earnings management on the credit risk of a firm. In sensitivity analysis, we examine the effects of the credit risk and the idiosyncratic risk of a firm on managerial behavior of income smoothing. The findings indicate that net cash flows of external financing, debt financing and equity financing activities are negatively related to the credit risk of a firm whether the idiosyncratic risk are measured by market model or Fama-French three factors model, implying that the higher financed funds, the higher credit rating of a firm is. It is because the firm has more investment opportunities and is in growth stage. The idiosyncratic risk of a firm is positively related to the credit risk. Next, both accrual and real earnings managements are positively related the credit risk under considering the idiosyncratic risk, and the idiosyncratic risk is also positively related to credit risk. As for the compositions of real earnings management, abnormal cash flows are negatively related to the credit risk but both abnormal production cost and abnormal discretionary expense are unrelated to credit risk. In this case, we also find the idiosyncratic risk of a firm is positively correlated with the credit risk. Moreover, in sensitivity analysis, the evidence indicates that the idiosyncratic risk is negatively related to earnings smoothing and the firm with higher credit risk prefers to income smoothing strategy. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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