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| Tekijä: | Dichev, I. D. Piotroski, J. D. |
| Otsikko: | The long-run stock returns following bond ratings changes |
| Lehti: | Journal of Finance
2001 : FEB, VOL. 56:1, p. 173-203 |
| Asiasana: | Stock returns Share valuation Bond ratings |
| Kieli: | eng |
| Tiivistelmä: | Using essentially all Moody's bond ratings changes between 1970 and 1997, the authors find no reliable abnormal returns following upgrades. They find negative abnormal returns on the magnitude of 10 to 14 percent in the first year following downgrades. The evidence sussgests that the poor returns result from an underreaction to the announcement of downgrades, rather than from lower systematic risk. announcement of downgrades, rather |
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