Common Stock Returns and Rating Changes: A Methodological Comparison
研究债券评级调整前后十一个月及公告当月公司普通股价格的变化，发现债券降级向股东传递信息，而升级在公告月统计不显著，但前期有正异常收益。
This paper examines the adjustments in a firm's common stock price during the eleven months before and during the month of announcement of a bond rating change. Based on several different measures of abnormal security return, the findings are consistent with the proposition that bond downgradings convey information to common stockholders. For bond upgradings, the price adjustments were statistically insignificant in the month of announcement, although in the eleven preceding months, upgraded firms exhibited positive abnormal returns. While the results do not fully support earlier research, we stress that the main contribution of this article lies in the scrutiny it gives to issues of methodology in assessing the possible price effects of bond reclassifications.