European Rating Actions, Investor Reaction, and Bond Spread Volatility
Abstract
This paper uses unit root tests that allow for structural breaks in order to examine the impact of ratings announcements on European bond credit spreads. In general, there are no noticeable reactions to announcements for issues in euros, which comes in contrast to the results of previous studies on US corporate bonds. However, we have noticed a reaction to rating actions for issues in sterling. In the case of a reaction to a downgrade or a...
Paper Details
Title
European Rating Actions, Investor Reaction, and Bond Spread Volatility
Published Date
May 14, 2015
Journal
Volume
44
Issue
2
Pages
333 - 360
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