Risk and Return Around Bond Rating Changes: New Evidence From the Spanish Stock Market
研究西班牙股市中公司债券评级变动对股价的影响，发现评级变动会引发股东与债券持有人之间的财富再分配，并改变企业的系统性风险。
Abstract: This study analyzes the effect of corporate bond rating changes on stock prices in the Spanish stock market. We explore their effects on excess of returns and systematic risk. Rating changes by Moody's, Standard and Poor's and FitchIBCA are analyzed. On an efficient market, these changes will only have some effect if they contain some new information or if they are associated to a redistribution of wealth between shareholders and bondholders. We use an extension of the event study dummy approach. Our results support the redistribution of wealth hypothesis in the abnormal returns behavior. We also find that changes in both directions cause a rebalancing effect in the total risk of the firm, with significant reductions on their systematic component.