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| Tekijä: | Wansley, J. W. Glascock, J. L. Clauretie, T. M. |
| Otsikko: | Institutional bond pricing and information arrival: the case of bond rating changes. |
| Lehti: | Journal of Business Finance and Accounting
1992 : SEP, VOL. 19:5, p. 733-750 |
| Asiasana: | MARKET EFFICIENCY PRICING BOND RATINGS BOND MARKETS |
| Kieli: | eng |
| Tiivistelmä: | This paper uses weekly bond prices from the Merrill Lynch Institutional Bond Pricing Service to examine the timing and magnitude of bond rating change announcements made by Standard and Poor's between 1982 and 1984. Bond rating reductions appear to convey considerable information, especially for those cases where bond rating grades are changed. Impacts around rating reductions do not appear to be significantly affected by whether the bonds were placed on Credit Watch at a prior time. Industrial firms tend to have larger and more significant announcement effects to bond rating reductions than do utilities, although the differences are generally not significant. |
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