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Mariya Paskaleva
Ani Stoykova

Authors and WSEAS

Mariya Paskaleva
Ani Stoykova

WSEAS Transactions on Business and Economics

Print ISSN: 1109-9526
E-ISSN: 2224-2899

Volume 16, 2019

Notice: As of 2014 and for the forthcoming years, the publication frequency/periodicity of WSEAS Journals is adapted to the 'continuously updated' model. What this means is that instead of being separated into issues, new papers will be added on a continuous basis, allowing a more regular flow and shorter publication times. The papers will appear in reverse order, therefore the most recent one will be on top.

Volume 16, 2019

Relationship Between Bulgarian Sovereign Credit Risk and Accounting Information

AUTHORS: Mariya Paskaleva, Ani Stoykova

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ABSTRACT: We examine the linkages between accounting information and credit default swap spread in Bulgaria. This paper employs a panel data approach including OLS model and VAR model. We use sovereign credit default swap spread data for the period reaching from the first quarter of 2009 to the fourth quarter of 2016. We apply 3 month Euribor rate as an indicator for risk- free rate. The final sample consists of twenty separate corporate entities from various industries in Bulgaria. The results reveal that accounting information is a relevant source of information to the credit markets. So we may conclude that accounting information is proved to provide incremental influence to the probability of default in Bulgaria. Moreover, CDS spreads has a significant relationship with other accounting and market variables.

KEYWORDS: accounting information, sovereign CDS, panel data, capital markets


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WSEAS Transactions on Business and Economics, ISSN / E-ISSN: 1109-9526 / 2224-2899, Volume 16, 2019, Art. #11, pp. 86-96

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