Embedded value reporting quality and credit risk: evidence from life insurance companies

Tsung-Kang Chen; Yijie Tseng; Yu Shun Hung; Chun Chi Lin

doi:10.1080/00014788.2020.1749979

Embedded value reporting quality and credit risk: evidence from life insurance companies

Tsung-Kang Chen, Yijie Tseng^*, Yu Shun Hung, Chun Chi Lin

^*Corresponding author for this work

Department of Management Science

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

This study investigates the effects of releasing embedded value (EV) reports and EV report disclosure quality on life insurance companies’ credit risks, using issuer credit rating and bond yield spread data from 2001 to 2010. Results show that releasing an EV report and EV report disclosure quality are both significantly and negatively associated with life insurance companies’ credit risks. In addition, the CFO Forum (2004a, 2004b, European Embedded Value) significantly strengthens the negative effect of releasing an EV report on firm credit risk while the subprime crisis has the opposite effect in Europe. Finally, the results are robust to endogeneity issues and different model specifications of fixed effects.

Original language	American English
Pages (from-to)	96-125
Journal	Accounting and Business Research
Volume	51
Issue number	1
Early online date	6 May 2020
DOIs	https://doi.org/10.1080/00014788.2020.1749979
State	Published - Feb 2021

Keywords

bond yield spread
credit risk
embedded value (EV)
EV report disclosure quality
life insurance company

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10.1080/00014788.2020.1749979

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title = "Embedded value reporting quality and credit risk: evidence from life insurance companies",

abstract = "This study investigates the effects of releasing embedded value (EV) reports and EV report disclosure quality on life insurance companies{\textquoteright} credit risks, using issuer credit rating and bond yield spread data from 2001 to 2010. Results show that releasing an EV report and EV report disclosure quality are both significantly and negatively associated with life insurance companies{\textquoteright} credit risks. In addition, the CFO Forum (2004a, 2004b, European Embedded Value) significantly strengthens the negative effect of releasing an EV report on firm credit risk while the subprime crisis has the opposite effect in Europe. Finally, the results are robust to endogeneity issues and different model specifications of fixed effects.",

keywords = "bond yield spread, credit risk, embedded value (EV), EV report disclosure quality, life insurance company",

author = "Tsung-Kang Chen and Yijie Tseng and Hung, {Yu Shun} and Lin, {Chun Chi}",

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PY - 2021/2

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N2 - This study investigates the effects of releasing embedded value (EV) reports and EV report disclosure quality on life insurance companies’ credit risks, using issuer credit rating and bond yield spread data from 2001 to 2010. Results show that releasing an EV report and EV report disclosure quality are both significantly and negatively associated with life insurance companies’ credit risks. In addition, the CFO Forum (2004a, 2004b, European Embedded Value) significantly strengthens the negative effect of releasing an EV report on firm credit risk while the subprime crisis has the opposite effect in Europe. Finally, the results are robust to endogeneity issues and different model specifications of fixed effects.

AB - This study investigates the effects of releasing embedded value (EV) reports and EV report disclosure quality on life insurance companies’ credit risks, using issuer credit rating and bond yield spread data from 2001 to 2010. Results show that releasing an EV report and EV report disclosure quality are both significantly and negatively associated with life insurance companies’ credit risks. In addition, the CFO Forum (2004a, 2004b, European Embedded Value) significantly strengthens the negative effect of releasing an EV report on firm credit risk while the subprime crisis has the opposite effect in Europe. Finally, the results are robust to endogeneity issues and different model specifications of fixed effects.

KW - bond yield spread

KW - credit risk

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Embedded value reporting quality and credit risk: evidence from life insurance companies

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