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  • 标题:Market pricing of credit rating signals
  • 本地全文:下载
  • 作者:Magdalena Grothe
  • 期刊名称:Euro Area Balance of Payments and International Investment Position Statistics
  • 印刷版ISSN:1830-3420
  • 电子版ISSN:1830-3439
  • 出版年度:2013
  • 出版社:European Central Bank
  • 摘要:This paper contributes new evidence on market pricing of rating changes. We ex- amine the relation between spreads and ratings for a very large and comprehensive sample of corporate bonds, which allows us to test for country- and industry-specific effects, as well as to explore the differences between the calm and distressed market conditions. The results show that the effects of rating actions on market prices are significant and depend on the current state of the market. While during favourable market conditions rating actions are not crucial for market pricing, they become very significant in the periods of crisis.
  • 关键词:corporate bond spreads; credit ratings; pricing of risk
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