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.

中文翻译：

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内含价值报告质量和信用风险：来自人寿保险公司的证据

本研究使用 2001 年至 2010 年的发行人信用评级和债券收益率利差数据，研究了发布内含价值 (EV) 报告和内含价值报告披露质量对寿险公司信用风险的影响。 结果表明，发布内含价值报告和内含价值报告披露质量与人寿保险公司的信用风险显着负相关。此外，CFO 论坛（2004a，2004b，欧洲内含价值）显着加强了发布企业信用风险报告的负面影响，而次贷危机在欧洲则相反。最后，结果对于内生性问题和固定效应的不同模型规范是稳健的。