Credit Ratings and Stock Liquidity
分析信用评级与股票市场流动性之间的同期及预测关系，发现信用评级越差，逆向选择指标越大，且当前逆向选择水平可预测未来评级变化。
We analyze contemporaneous and predictive relations between credit ratings and measures of equity market liquidity and find that common measures of adverse selection, which reflect a portion of the uncertainty about future firm value, are larger when credit ratings are poorer. We also show that future rating changes can be predicted using current levels of adverse selection. Collectively, our results validate widely used microstructure measures of adverse selection and offer new insights into the value of credit ratings and the specific nature of the information they contain. Copyright 2006, Oxford University Press.