Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/154056
Authors: 
Grothe, Magdalena
Year of Publication: 
2013
Series/Report no.: 
ECB Working Paper 1623
Abstract: 
This paper contributes new evidence on market pricing of rating changes. We examine the relation between spreads and ratings for a very large and comprehensive sample of corporate bonds, which allows us to test for country- and industry-specific effects, as well as to explore the differences between the calm and distressed market conditions. The results show that the effects of rating actions on market prices are significant and depend on the current state of the market. While during favourable market conditions rating actions are not crucial for market pricing, they become very significant in the periods of crisis.
Subjects: 
corporate bond spreads
credit ratings
pricing of risk
JEL: 
G12
G14
G01
G21
Document Type: 
Working Paper

Files in This Item:
File
Size
839.42 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.