Ratings, Commercial Paper, and Equity Returns
首次发现商业票据的初始评级会影响普通股收益：高评级工业票据（无银行信用证支持）有显著正异常收益，低评级则无；评级下调（尤其是暗示退出商业票据市场）导致显著负异常收益，上调则无影响。
ABSTRACT We present the first evidence that initial ratings of commercial paper influence common stock returns. Highly‐rated industrial issues of commercial paper, unaccompanied by bank letters of credit, are associated with significantly positive abnormal returns; lower‐rated issues are not. The stock price effects of changes in commercial paper ratings also demonstrate the relevance of ratings to the financing of firms. Rating downgrades, especially those that imply an exit from the commercial paper market, produce significantly negative abnormal returns; upgrades have no effects. Initial commercial paper ratings and subsequent reratings appear to help investors sort firms by their future prospects.