<P><STRONG>Credit Ratings and the Cross-Section of Stock Returns</STRONG></P>
<P>Doron Avramov<br>Robert H. Smith School of Business<br>University of Maryland<br><a href="mailto:davramov@rhsmith.umd.eduTarun" target="_blank" >davramov@rhsmith.umd.eduTarun</A> Chordia<br>Goizueta Business School<br>Emory University<br>Tarun <a href="mailto:Chordia@bus.emory.edu" target="_blank" >Chordia@bus.emory.edu</A><br>Gergana Jostova<br>School of Business<br>George Washington University<br><a href="mailto:jostova@gwu.edu" target="_blank" >jostova@gwu.edu</A><br>Alexander Philipov<br>Kogod School of Business<br>American University<br><a href="mailto:philipov@american.edu" target="_blank" >philipov@american.edu</A></P>
<P>ABSTRACT: Low credit risk firms realize higher returns than high credit risk firms. This effect is puzzling because investors pay a premium for bearing credit risk. This paper shows that the credit risk effect exists only in periods around credit rating downgrades. Around downgrades, low rated firms experience considerable negative returns, precipitated by substantial deterioration in their operating and financial performance, large negative earnings surprises and analyst forecast revisions, and strong institutional selling. In contrast, returns do not differ across credit risk groups in stable or improving credit conditions. Remarkably, the credit risk effect is driven by the lowest rated stocks which account for 0.05% of the total market cap, suggesting that there is no pervasive distress factor in the cross section of returns</P><br>

[此贴子已经被作者于2007-3-13 11:21:39编辑过]