| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9108 |
| DP9108 Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition | |
| Norman Schürhoff | |
| 发表日期 | 2012-08-26 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | The 2005 inclusion of Fitch ratings in the Lehman composite index ratings provides a quasi-natural experiment to identify rating-based market segmentation in the corporate bond market. Split-rated bonds with favorable Fitch rating that were mechanically upgraded to investment-grade status exhibit abnormal returns and order flows, whether or not they enter the Lehman investment-grade index itself. An asymmetric impact of favorable Fitch ratings on bonds around the HY-IG boundary whose index rating did not initially change suggests that mechanical changes in future index rating transition probabilities also affect bond pricing. Our results highlight the importance of rating-based industry norms and practices for market segmentation, in addition to rating-based regulation. |
| 主题 | Financial Economics |
| 关键词 | Corporate bond market Index addition Industry practices Institutional investors Liquidity Market segmentation Rating agencies Rating-based regulation |
| URL | https://cepr.org/publications/dp9108 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537941 |
| 推荐引用方式 GB/T 7714 | Norman Schürhoff. DP9108 Bond Ratings Matter: Evidence from the Lehman Brothers Index Rating Redefinition. 2012. |
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