The Independent Impact of Credit Rating Changes – The Case of Moody's Rating Refinement on Yield Premiums
研究穆迪1982年首次细化评级系统后，被降级债券的收益率出现统计显著变化，说明评级机构为投资者提供了重要信息。
On April 26, 1982, Moody’s Investors Service refined its rating system for the first time in its seventy‐three year rating history. We examine the information content of the rating refinement in the study. We find a statistically significant change in the yields on bonds whose ratings were downgraded. The detection of the impact of refinement on bond prices implies that rating agencies perform an important function in financial markets, that is they provide information to investors.