This study investigates the relationship between auditor tenure and credit default swap(CDS)spreads of U.S.firms based on quantile regression.After allowing for common determinants of CDS spreads,auditor tenure exerts...This study investigates the relationship between auditor tenure and credit default swap(CDS)spreads of U.S.firms based on quantile regression.After allowing for common determinants of CDS spreads,auditor tenure exerts both statistically and economically significant additional impacts on the CDS market.Furthermore,there are differential effects of common CDS spread determinants and auditor tenure.While common determinants of CDS spreads(e.g.,leverage,volatility,risk free rate,credit ratings,and earnings)have monotonically increasing impacts when CDS spreads(and their changes)are increasingly higher,auditor tenure primarily has the impact when CDS spreads are of low or median levels for less risky firms.展开更多
基金financial supports from the National Natural Science Foundation of China(71871195,71988101)National Social Science Foundation of China(19ZDA060)+1 种基金the Humanities and Social Sciences grant of the Chinese Ministry of Education(18YJA790121)Mindu Educational Fund.
文摘This study investigates the relationship between auditor tenure and credit default swap(CDS)spreads of U.S.firms based on quantile regression.After allowing for common determinants of CDS spreads,auditor tenure exerts both statistically and economically significant additional impacts on the CDS market.Furthermore,there are differential effects of common CDS spread determinants and auditor tenure.While common determinants of CDS spreads(e.g.,leverage,volatility,risk free rate,credit ratings,and earnings)have monotonically increasing impacts when CDS spreads(and their changes)are increasingly higher,auditor tenure primarily has the impact when CDS spreads are of low or median levels for less risky firms.
