德勤－复旦会计论坛系列讲座之七十八

时间：2015年4月7日（周二）下午13：30

地点：史带楼302室

主持人：施海娜副教授

演讲嘉宾：Jeong-Bon Kim （City University of Hong Kong）

Title：Fraud Discovery in the Credit Default Swaps Market

Abstract：In this study, we investigate the behavior of investors in the credit default swaps (CDS) market in the event that financial reporting frauds are discovered. Our findings indicate that CDS credit spreads increase significantly in the months before the public discovery of frauds, and then spike upon the discovery date. We also show that CDS credit spreads increase more significantly before the public discovery for fraud firms that exhibit a higher likelihood of experiencing a credit event, with less effective governance and monitoring, and greater information asymmetry between firms and investors. Overall, our results suggest that some credit investors may have superior information about suspected fraudulent activities prior to the public disclosure of frauds and the responses of these investors are reflected in the CDS pricing. Other credit investors who do not possess private information about frauds in advance of the discovery would react concurrently with the rest of the capital market at the time of public discovery. Moreover, the reactions in the CDS market are stronger in such fraud-committing firms that pose greater credit concerns to investors.

会计系

2015年4月1日