The Information Value of Bond Ratings  

Oleh:

Kliger, Doron ; Sarig, Oded

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 6 (2000), page 2879-2902.
Topik: VALUES; bond ratings; studies; rates of return; raitng services
Fulltext: p 2879.pdf (125.9KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We test whether bond ratings contain pricing - relevant informatio by examining security price reactions to moody's refinement of its rating system, which was not accompanied by any fundamental change in issuers' risks, was not precede by any announcement, and was carried simultaneously for all bonds. We find that rating information does not affect firm value but that debt value increases (decreases) and equity value falls (rises) when moody;s announces better (worse) than expected ratings. We also find that when moody's announces better (worse) than expected ratings, the volatilities implied by prices of options on the fine - rated issuers' shares decline (rise).

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