The Real Consequences of Market Segmentation
利用投资级与投机级边界附近的匹配样本，研究发现高收益共同基金的资金流动对投机级企业的发行和投资有显著影响，尤其对财务受限企业，且该效应源于评级标签的离散变化而非信用质量的连续变化。
We study the real effects of market segmentation due to credit ratings using a matched sample of firms just above and just below the investment-grade cutoff. These firms have similar observables, including average investment rates. However, flows into high-yield mutual funds have an economically significant effect on the issuance and investment of the speculative-grade firms relative to their matches, especially for firms likely to be financially constrained. The effect is associated with the discrete change in label from investment-grade to speculative-grade, not with changes in continuous measures of credit quality. We do not find similar effects at other rating boundaries.