Rating labels and style investing: Evidence from Moody's rating recalibration
利用穆迪评级重新校准事件，研究评级标签变化如何影响市政债券的联动性、交易活动和波动性，并发现风格投资导致收益可预测性。
Abstract This paper investigates the role of style investing in comovement and return predictability. Using Moody's rating recalibration event to isolate the style effect, we find that changes in rating labels have powerful effects on comovement of municipal bond returns, trading activity, and volatility. Volatility‐based comovement adds to the return comovement. Rating style investing induces return predictability and affects return formation, which interacts with investor sentiment. Shifts in the rating label drive these results through correlated trading activities, and the effects are reinforced by behavioral biases and trading frictions.