The Effect of Bond Rating Agency Announcements on Bond and Stock Prices
研究标准普尔信用观察名单和穆迪、标准普尔评级变动公告对债券超额收益的影响，发现预期外的名单变动和评级调整均产生显著债券价格效应，并对比了股票价格效应。
ABSTRACT This paper examines daily excess bond returns associated with announcements of additions to Standard and Poor's Credit Watch List, and to rating changes by Moody's and Standard and Poor's. Reliably nonzero average excess bond returns are observed for additions to Standard and Poor's Credit Watch List when an expectations model is used to classify additions as either expected or unexpected. Bond price effects are also observed for actual downgrade and upgrade announcements by rating agencies. Excluding announcements with concurrent disclosures weakens the results for downgrades, but not upgrades. The stock price effects of rating agency announcements are also examined and contrasted with the bond price effects.