[讨论]Credit Ratings and the Cross-Section of Stock Returns

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<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> 98494.pdf (226.74 KB)

2007-3-13 11:22:00 上传

[讨论]Credit Ratings and the Cross-Section of Stock Returns

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[此贴子已经被作者于2007-3-13 11:21:39编辑过]

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关键词：Returns Section Ratings RETURN Credit Business returns Robert credit higher

寒假看的一篇文章,讲的是如何解释市场上firms with lower credit risk has a higher return.结论是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。

让我觉得有意思的是，文章在除掉了这0.05%的downgrades firms后，仍然得到一个returns of stocks with lower credit risk are higher than their counterpart with higher credit risk,but it is insignificant statistically.

如果是传统意义上的理解应该是returns of stocks with lower credit risk are significantly lower than their counterpart with higher credit risk，这其中的差距该怎么解释呢？？