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1、JournalofEmpiricalFinance29(2014)266–280ContentslistsavailableatScienceDirectJournalofEmpiricalFinancejournalhomepage:www.elsevier.com/locate/jempfinProductionefficiencyuncertaintyandcorporatecreditrisk:Structuralformcreditmodelperspectivesa,⁎,Hsien-HsingLiaobaTsung-KangChen,Wei-LunChenaDe
2、partmentofFinanceandInternationalBusiness,FuJenCatholicUniversity,No.510,JhongjhengRd.,SinjhuangDist.,NewTaipeiCity24205,Taiwan,ROCbDepartmentofFinance,NationalTaiwanUniversity,No.1,Sec.4,RooseveltRd.,TaipeiCity10617,Taiwan,ROCarticleinfoabstractArticlehistory:Thisstudyinvestigatestheeffe
3、ctofproductionefficiencyuncertainty(PEU)onfirmcreditriskfromReceived10December2013structuralformcreditmodelperspectives(e.g.assetvolatility)byemploying4376AmericanReceivedinrevisedform11July2014manufacturingfirms'bondobservationsfromtheyear1997to2008.WefindthatPEUispositivelyAccepted20August2
4、014relatedtofirmcreditriskwhencontrollingforwell-knowncreditriskdeterminantvariables.WeAvailableonline28August2014alsofindthatboomingeconomicconditionsweakenthePEUeffect.Finally,ourempiricalresultsarerobustforthefirm-fixedeffectissueandtheminimumrequiredobservationsinestimatingJELclassificatio
5、n:productionefficiency.D24©2014ElsevierB.V.Allrightsreserved.G12M40Keywords:ProductionefficiencyuncertaintyCreditriskStructuralformcreditmodelAssetvolatilityBondyieldspread1.Introduction1Afirm'sproductionefficiencyiscrucialforafirm'svaluecreationprocess.Firmswithhigherproductionefficiencyusuall
6、yhavehigheroutputswiththesameinputsandthereforehavebetteroperatingperformance.Kahn(1987)andotherstudiesfindthatthevarianceofproductionexceedsthevarianceofsaleswithdemanduncertaintyandshowthatproductionvariationssubstantiallyinflu-2enceafirm'sinventoryflow,cashflowanditsassetvaluedistribution.T
7、hatis,ahigherdegreeofuncertaintyinproductionefficiencyincreasesthevariationsofafirm'soperatingcashflowsandmaycausethefirm'sassetvaluedistributionmorevolatile,whichraisefirmdefaultprobabilityandcreditrisk(Merton,1974).Inaddition,accordingtoLambertetal.(2007),accountinginf
