Does sell-side debt research have investment value?
研究了卖方债务分析师的推荐对债券投资者的价值，发现推荐变化能预测债券异常回报，且存在价格漂移现象，表明市场反应滞后。
This study examines whether sell-side debt research has investment value for debt investors. We find that both the levels of and changes in recommendations are associated with event-time abnormal bond returns, and that changes in recommendations (i.e. upgrades and downgrades) are associated with stronger price reactions. More importantly, we find that changes in recommendations are associated with a significant post-event bond price drift, suggesting delayed market reactions to recommendation changes. The calendar-time portfolio approach of buying (selling) bonds following upgrades (downgrades) generates significant abnormal bond returns. In addition, we present new evidence that debt analysts often provide different recommendations for bonds issued by a firm to reflect different bond-specific characteristics. Overall, our results suggest that debt analysts’ recommendations have investment value.