scholarly journals Testing Linearity in Term Structures

2009 ◽  
Author(s):  
Chiara Peroni
Keyword(s):  
Testing Linearity ◽  
Term Structures

scholarly journals Testing linearity in term structures

2012 ◽  
Vol 22 (8) ◽  
pp. 651-666 ◽  
Author(s):  
Chiara Peroni
Keyword(s):  
Testing Linearity ◽  
Term Structures

The Bond, Equity, and Real Estate Term Structures

2020 ◽  
Author(s):  
Spencer Andrews ◽  
Andrei Gonçalves
Keyword(s):  
Real Estate ◽  
Term Structures

Rating Agency Adjustments to GAAP Financial Statements and Their Effect on Ratings and Credit Spreads

2014 ◽  
Vol 90 (2) ◽  
pp. 641-674 ◽  
Author(s):  
Pepa Kraft
Keyword(s):  
Default Risk ◽  
Credit Rating ◽  
Credit Ratings ◽  
Balance Sheet ◽  
Financial Statements ◽  
Financial Statement ◽  
Credit Spread ◽  
Credit Spreads ◽  
Term Structures ◽  
Interest Expense

ABSTRACT I examine a dataset of both quantitative (hard) adjustments to firms' reported U.S. GAAP financial statement numbers and qualitative (soft) adjustments to firms' credit ratings that Moody's develops and uses in its credit rating process. I first document differences between firms' reported and Moody's adjusted numbers that are both large and frequent across firms. For example, primarily because of upward adjustments to interest expense and debt attributable to firms' off-balance sheet debt, on average, adjusted coverage (cash flow-to-debt) ratios are 27 percent (8 percent) lower and adjusted leverage ratios are 70 percent higher than the corresponding U.S. GAAP ratios. I then find that Moody's hard and soft rating adjustments are associated with significantly higher credit spreads and flatter credit spread term structures. Overall, the results indicate that Moody's quantitative adjustments to financial statement numbers and qualitative adjustments to credit ratings enable it to better capture default risk, consistent with it effectively processing both hard and soft information.

Informational Content in Interest Rate Term Structures

1993 ◽  
Vol 75 (4) ◽  
pp. 695 ◽  
Author(s):  
Robert O. Edmister ◽  
Dilip B. Madan
Keyword(s):  
Interest Rate ◽  
Informational Content ◽  
Term Structures
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