The Long‐Run Stock Returns Following Bond Ratings Changes
基于1970至1997年穆迪评级变动数据，发现降级后第一年股票出现10%至14%的负异常回报，且小规模低信用公司更明显，表明市场对降级反应不足。
ABSTRACT Using essentially all Moody's bond ratings changes between 1970 and 1997, we find no reliable abnormal returns following upgrades. However, we find negative abnormal returns on the magnitude of 10 to 14 percent in the first year following downgrades. Additional results reveal that this underperformance is especially pronounced for small, low‐credit‐quality firms. Also, downgrades underperform in nearly all years in the sample, and a large part of the abnormal returns occur at subsequent earnings announcements. Thus, the evidence suggests that the poor returns result from an underreaction to the announcement of downgrades, rather than from lower systematic risk.