Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders?
研究债券评级下调对普通股回报的影响，发现因财务前景恶化导致的降级传递负面信息，但因杠杆变化导致的降级则无显著影响。
ABSTRACT We examine the reaction of common stock returns to bond rating changes. While recent studies find a significant negative stock response to downgrades, we argue that this reaction should not be expected for all downgrades because: (1) some rating changes are anticipated by market participants and (2) downgrades because of an anticipated move to transfer wealth from bondholders to stockholders should be good news for stockholders. We find that downgrades associated with deteriorating financial prospects convey new negative information to the capital market, but that downgrades due to changes in firms' leverage do not.