The Long - Run Stock Returns Following Bond Ratings Changes  

Oleh:

Dichev, Ilia D. ; Piotroski, Joseph D.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 1 (2001), page 173-203.
Topik: bonds; bond ratings; studies; statistical analysis; rates of return; stock prices
Fulltext: p 173.pdf (442.12KB)

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

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In this study, a comprehensive investigation of the long-run returns following bond ratings changes are provided. Using essentially all Moody's bond ratings changes between 1970 and 1997, no reliable abnormal returns following upgrades are found. However, negative abnormal returns on the magnitude of 10 to 14% are found in the first year following downgrades. Additional results reveal that this underperformance is especially pronounced for small, low - credit - quality firms. Also, downgrades underperform in nearly all years in the sample, and a large part of the abnormal returns occur at subsequent earnings announcements. Thus, the evidence suggests that the poor returns result form an underreaction to the announcement of downgrades, rather than from lower systematic risk.

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