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

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  • TSUNG-KANG CHEN
  • YIJIE TSENG
  • YU-SHUN HUNG
  • CHUN-CHI LIN

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.

Suggested Citation

  • Tsung-Kang Chen & Yijie Tseng & Yu-Shun Hung & Chun-Chi Lin, 2021. "Embedded value reporting quality and credit risk: evidence from life insurance companies," Accounting and Business Research, Taylor & Francis Journals, vol. 51(1), pages 96-125, January.
    • Handle: RePEc:taf:acctbr:v:51:y:2021:i:1:p:96-125
    DOI: 10.1080/00014788.2020.1749979
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    Cited by:

    1. Derrick W. H. Fung & Charles C. Yang & Jason J. H. Yeh, 2024. "The market price to embedded value gap: an analysis of European life insurers," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 69-96, January.

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