Datos Generales del Procedimiento

PREDICT_LGD 224.727* 1.305*** -0.864* -0.317* 0.734* (8.18) (1.65) (5.53) (3.43) (6.89) LSIZE -28.640* -0.453* -0.025*** -0.044* -0.039* (12.40) (5.56) (1.77) (3.86) (4.11) LEV 57.226* 0.587 0.355* 0.039 0.428* (3.95) (1.42) (5.47) (0.91) (8.78) Q 11.525* 0.107 -0.019 0.047* -0.019*** (5.71) (1.49) (1.26) (4.54) (1.91) SPREAD 0.011* 0.000 -0.000* 0.000*** (7.70) (1.17) (5.22) (1.88) SECURED 51.108* 0.169* 0.005 -0.023 (11.12) (7.46) (0.27) (1.45) LMATURITY 3.473 0.677* 0.070* -0.041* (1.17) (6.97) (8.03) (3.95) LFACAMOUNT -15.230* 0.01 0.115* 0.011*** (7.76) (0.15) (10.69) (1.71) COV STRICTNESS 11.971*** -0.341** -0.117* 0.048*** (1.83) (1.97) (3.92) (1.90) INV_GRADE -48.346* -1.551* -0.292* -0.028** 0.046*** (8.65) (6.10) (8.21) (2.16) (1.75) SPRATED 29.481* 0.415* 0.132* -0.002 -0.023 (4.19) (2.62) (4.91) (0.14) (1.06) DLI 63.792* -0.214 -0.197** -0.104* -0.043 (3.41) (0.40) (2.51) (3.31) (0.74) Z 6.898* 0.087 -0.002 0.007 0.015** (3.27) (1.50) (0.18) (1.00) (2.17) Constant 183.529* -1.670** 3.831* 0.447* 0.201** (8.54) (2.54) (37.45) (5.76) (2.44) Observations 4,584 4,584 4,584 4,584 4,584 R-squared 0.559 0.262 0.139 0.262

57 References:

Acharya, V. V, S. T Bharath, and A. Srinivasan. 2007. Does industry-wide distress affect defaulted firms? Evidence from creditor recoveries. Journal of Financial Economics 85, no. 3: 787– 821.

Acharya, Viral V., Sreedhar T. Bharath, and Anand Srinivasan. 2004. Understanding the Recovery Rates on Defaulted Securities. Working Paper.

Aghion, P., and P. Bolton. 1992. An incomplete contracts approach to financial contracting. The review of economic Studies 59, no. 3: 473–494.

Altman, E. I. 1968. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy. Journal of finance: 589–609.

Altman, E. I, and V. M Kishore. 1996. Almost everything you wanted to know about recoveries on defaulted bonds. Financial Analysts Journal 52, no. 6: 57–64.

Altman, E., A. Resti, and A. Sironi. 2004. Default recovery rates in credit risk modelling: a review of the literature and empirical evidence. Economic Notes 33, no. 2: 183–208.

Altman, E. I, B. Brady, A. Resti, and A. Sironi. 2005. The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications. The Journal of Business 78, no. 6. Altman, E. 2009. Default recovery rates in credit risk modelling: a review of the literature and

empirical evidence. Working Paper.

Armstrong, C., W. R Guay, and J. Weber. 2010. The Role of Information and Financial Reporting in Corporate Governance and Debt Contracting. Working Paper.

Ball, Ryan, Robert M. Bushman, and Florin P. Vasvari. 2008. The Debt-Contracting Value of Accounting Information and Loan Syndicate Structure. Journal of Accounting Research 46, no. 2 (5): 247-287.

Beatty, A., J. Weber, and J. J Yu. 2008. Conservatism and debt. Journal of Accounting and Economics 45, no. 2: 154–174.

Beaver, W.H. 1966. Financial ratios as predictors of failure. Journal of Accounting Research 4: 71- 111.

Beaver, W.H. 1968. Alternative accounting measures as predictors of failure. Accounting review 43, no. 1: 113–122.

Beaver, W.H. 1968. Market Prices, Financial ratios, and the prediction of failure. Journal of Accounting Research 6, no. 2: 179-192.

Bebchuk, L., A. Cohen, and A. Ferrell. 2008. What matters in corporate governance? Review of Financial Studies 22, no. 2: 783-827.

58

Benmelech, E., M. J Garmaise, and T. J Moskowitz. 2005. Do Liquidation Values Affect Financial Contracts? Evidence from Commercial Loan Contracts and Zoning Regulation. The

Quarterly Journal of Economics 120, no. 3: 1121–1154.

Benmelech, E., and N. K Bergman. 2008. Liquidation values and the credibility of financial contract renegotiation: evidence from US airlines. The Quarterly Journal of Economics 123, no. 3: 1635-1677.

Benmelech, E. 2009. Collateral pricing. Journal of Financial Economics 91, no. 3: 339–360.

Bharath, S. T, and T. Shumway. 2008. Forecasting default with the Merton distance to default model. Review of Financial Studies 21, no. 3: 1339.

Bharath, Sreedhar T., Jayanthi Sunder, and Shyam V. Sunder. 2008. Accounting Quality and Debt Contracting. The Accounting Review 83, no. 1: 1-28.

Carey, M., and M. Gordy. 2004. Measuring Systematic Risk in Recoveries on Defaulted Debt I: Firm-Level Ultimate LGDs. Working Paper.

Chava, S., and M. R Roberts. n.d. How does financing impact investment? The role of debt covenants. Journal of finance 63, no. 5: 2085–2021.

Edgington,, E., and P. Onghena, 2007. Randomization Tests. 4th ed. Chapman & Hall.

Francis, J., R. LaFond, P. M Olsson, and K. Schipper. 2004. Costs of equity and earnings attributes. The Accounting Review 79, no. 4: 967–1010.

Göx, R. F, and A. Wagenhofer. 2009. Optimal impairment rules. Journal of Accounting and Economics 48, no. 1: 2–16.

Gigler, Frank, Chandra Kanodia, Haresh Sapra, and Raghu Venugopalan. 2009. Accounting

Conservatism and the Efficiency of Debt Contracts. Journal of Accounting Research 47, no. 3 (6): 767-797.

Graham, J. R, S. Li, and J. Qiu. 2008. Corporate misreporting and bank loan contracting. Journal of Financial Economics 89, no. 1: 44–61.

Hart, O., and J. Moore. 1994. A theory of debt based on the inalienability of human capital. The Quarterly Journal of Economics 109, no. 4: 841–879.

Hillegeist, S. A, E. K Keating, D. P Cram, and K. G Lundstedt. 2004. Assessing the probability of bankruptcy. Review of Accounting Studies 9, no. 1: 5–34.

Ivashina, Victoria. 2009. Asymmetric Information Effects on Loan Spreads. Working Paper. Li, J. Accounting conservatism and debt contract: Efficient liquidation and covenant renegotiation.

59

Merton, R. C. 1974. On the pricing of corporate debt: The risk structure of interest rates. Journal of finance 29, no. 2: 449–470.

Nikolaev, Valeri V. 2010. Debt Covenants and Accounting Conservatism. Journal of Accounting Research 48, no. 1 (3): 51-89.

Murfin, J. 2010. The Supply-Side Determinants of Loan Contract Strictness. Working Paper. Ohlson, James A. 1980. Financial Ratios and the Probabilistic Prediction of Bankruptcy. Journal of

Accounting Research 18, no. 1: 109-131.

Owens, E. L. 2010. Bankruptcy Contagion and the Market Response to Intra-Industry Earnings News. Working Paper.

Papke, L. E, and J. M Wooldridge. 1996. Econometric methods for fractional response variables with an application to 401 (k) plan participation rates. Journal of Applied Econometrics 11, no. 6: 619–632.

Roberts, M. R, and A. Sufi. 2009. Financial contracting: A survey of empirical research and future directions. Annual Review of Financial Economics 1: 207-226.

Shleifer, A., and R. W Vishny. 1992. Liquidation values and debt capacity: A market equilibrium approach. Journal of Finance 47, no. 4: 1343–1366.

Shumway, T. 2001. Forecasting Bankruptcy More Accurately: A Simple Hazard Model. The Journal of Business 74, no. 1: 101–124.

Standard and Poor's. 2009. A Guide to the Loan Market.

Sunder, J., S. V Sunder, and J. Zhang.2009. Borrower Conservatism and Private Debt Contracting. Working Paper.

Tirole, J. 2007. The theory of corporate finance. Princeton University Press Princeton, NJ. Varma, P., and R. Cantor. 2005. Determinants of recovery rates on defaulted bonds and loans for

North American corporate issuers: 1983-2003. Journal of Fixed Income 14, no. 4: 29–44. Vassalou, M., and Y. Xing. 2004. Default risk in equity returns. Journal of Finance 59, no. 2: 831–

868.

Watts, Ross L. 2003. Conservatism in Accounting Part I: Explanations and implications. Accounting Horizons 17, no. 3: 207-221.

Zhang, J. 2008. The contracting benefits of accounting conservatism to lenders and borrowers. Journal of Accounting and Economics 45, no. 1: 27–54.

Zmijewski, M. E. 1984. Methodological issues related to the estimation of financial distress prediction models. Journal of Accounting Research: 59–8