Article ID Journal Published Year Pages File Type
7360967 Journal of Empirical Finance 2014 15 Pages PDF
Abstract
This study investigates the effect of production efficiency uncertainty (PEU) on firm credit risk from structural form credit model perspectives (e.g. asset volatility) by employing 4376 American manufacturing firms' bond observations from the year 1997 to 2008. We find that PEU is positively related to firm credit risk when controlling for well-known credit risk determinant variables. We also find that booming economic conditions weaken the PEU effect. Finally, our empirical results are robust for the firm-fixed effect issue and the minimum required observations in estimating production efficiency.
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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