Essays on the firms' cost of debt and the impact of earnings attributes on analysts' forecasts.

摘要

The two essays in this dissertation study issues regarding the impact of analysts' forecasts on the firms' cost of default risk and the impact of earnings attributes on the properties of analysts' forecasts. The purpose of the first essay is to study the impact of beating analysts' forecasts and the dispersion of those forecasts on the pricing of firms' Credit Default Swaps (CDSs). Sell-side analysts collect market, industry and firm information. Therefore, the information contained in their forecasts may provide additional information to price CDSs. I find that firms that beat analysts' earnings, cash flow and revenue forecasts and firms with less dispersed analysts' earnings and cash flow forecasts have lower CDS premia next year and between consecutive periods. These effects are stronger for firms that jointly beat all three forecasts and for CDS contracts at short maturities. I also document that the effect of beating analysts' earnings forecasts on the levels and changes of CDS premia is stronger for firms with more informative earnings and it persists even when managers seem to manipulate earnings upwards or guide analysts downwards trying to beat analysts' forecasts.;The purpose of the second essay is to explore the association between earnings attributes and the properties of analysts' earnings forecasts for firms reporting under different accounting standards. Financial analysts are sophisticated market participants for whom firms' historical financial statements are important inputs. Therefore, the association between the properties of analysts' forecasts (accuracy and dispersion) and the attributes of earnings (persistence, predictability and smoothness) might provide additional evidence on the value and informativeness of different accounting standards. My results show that the association between earnings predictability and the accuracy and dispersion of analysts' earnings forecasts is stronger for firms reporting under IFRS compared to firms reporting under US GAAP or other domestic accounting standards. It seems that financial statements reported under IFRS provide more relevant information to financial analysts. Moreover, these results are stronger for firms incorporated in countries with high levels of legal enforcement, which is consistent with previous findings on the impact of a country's legal enforcement level on the implementation of IFRS.