THE REGULATION EFFECT OF CREDIT RATINGS ON BOND INTEREST YIELD: THE CASE OF JUNK BONDS
研究债券评级对收益率的“监管效应”，发现投机级债券的高收益溢价不仅反映违约风险，还包含监管因素。通过多元判别分析分离两者，指出非受监管投资者可利用此效应获得额外收益。
This paper examines the ‘regulation effect’ of bond ratings of yield. It is shown that the high yield premia on ‘speculative bonds’ not only reflect the high probability of default, but also contain an effect of regulation. A multiple discriminant analysis (MDA) technique is used to separate the default component of yield premium from the regulation effect. The results in the study suggest that non‐regulated investors, by taking advantage of the regulation effect, may earn an extra premium on a diversified portfolio of ‘speculative bonds’, at least for the period under this study (from January 1982‐June 1987).