The Effect of a Rating Downgrade on Outstanding Commercial Paper
检验Diamond（1991）模型，发现银行控股公司商业票据在评级下调后两周内累计异常下降6.69%，随后12周下降11.05%，而附属银行大额存单无显著变化，表明存款保险可能削弱了市场约束。
ABSTRACT Diamond (1991) argues that a firm's reputation determines whether it borrows directly or through an intermediary. We test the Diamond model by examining the quantity response of commercial paper issued by bank holding companies to a rating downgrade. From 1986 to 1991, cumulative abnormal declines averaged 6.69 percent in the first two weeks after the downgrade and 11.05 percent in the subsequent 12 weeks. In contrast to commercial paper issued by bank holding companies, large CDs issued by affiliated banks did not change significantly in the period around a downgrade, suggesting that deposit insurance may have removed market discipline from the CD market.