债券违约、信用风险传染与高质量审计需求

Bond Default,the Contagion Effect of Credit Risk and High-Quality Audit Demand

依托国内债券市场刚性兑付被打破的现实场景,论文实证考察了审计师对债券违约的低质量审计是否会影响其审计的其他发债客户的审计决策及其背后的作用机制。结果发现,相比未受低质量审计影响的发债客户,受影响的发债客户在未来期间更有可能选择变更审计师、付出更高的审计费用,并因此而获得了更高质量的审计服务。这是因为审计师对债券违约的低质量审计会引发审计客户群间的信用风险传染,具体表现在受影响的发债公司在未来期间将面临更高的债券信用利差、收到更低的信用评级、以债券违约日为事件发生日的债券市场短期市场反应亦显著为负。进一步,受影响发债客户的高质量审计需求显著改善了其在未来期间面临的融资困境。在企业债券违约频发的现实背景下,本研究为单一债券违约如何影响其他债券发行主体及其审计决策提供了来自中国债券市场的经验证据。

Facing frequent corporate defaults after the“Breaking Rigid Payment”in Chinese bond market,this study empirically investigates whether an auditor’s provision of low-quality audits for bond defaults influences the audit decisions made by other bond issuers audited by the same auditor.We find that compared with firms audited by other auditors,bond issuing clients affected by low-quality audits are more likely to change auditors,pay higher audit fees,and then obtain high-quality audits in the future.This is because the low-quality audit of the auditor on the bond default will trigger the credit risk contagion among the audit client group.Specifically,the affected issuers will face higher bond credit spreads,receive lower credit ratings in the future,and the short-term market reaction of the bond market on the date of the bond default is significantly negative.Our study provides empirical evidence on how the contagion effect of credit risk affects other bond issuers and their audit decisions.