Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23502
標題: The effect of bond rating changes on bond and stock prices
信評改變對債券和股票價格的影響
作者: 張育人
Chang, Yu-Jen
關鍵字: Bond rating change;信用評等;Regulation FD;公平揭露規則
出版社: 財務金融系所
引用: References Billett T. Matthew, Tao-Hsien Dolly King and David C. Mauer, 2004, Bondholder Weaith Effects in Mergers and Acquisitions: New Evidence from the 1980s and 1990s, Journal of Finance 59, 107-135. Christiansen Charlotte and Angelo Ranaldo, 2007, Ralized Bond-Stock: Macroeconomic Announcement Effects, Journal of Futures Markets 27, 439-469. Connolly Robert, Chris Stivers and Licheng Sun, 2004, Stock Market Uncertainty and the Stock-Bond Return Relation, Working paper Kenan-Flagler Business School University of North Carolina at Chapel Hill, Terry College of Business University of Georgia Athens and School of Business Penn State Erie. Datta Sudip and Upinder S. Dhillon, 1993, Bond and Stock Market Response to Unexpected Earnings Announcements, Journal of Financia and Quantititive 28, 565-577. Dhillon S. Upinder and Herb Johnson, 1994, The Effect of Dividend Changes on Stock and Bond Price, Journal of Finance 49, 281-289. Dichev Ilia D. and Joseph D. Piotroski, 2001, The Long-Run Stock Returns Following Bond Ratings Changes, Journal of Finance 56, 173-204. Fleming Jeff, Chris Kirby and Barbara Ostdiek, 2003, The Economic Value of Volatility Timing Using “Realized” Volatility, Journal of Financial Economics 67, 473-509. Grier Paul and Steven Katz, 1976, The Differential Effects of Bond Rating Changes Among Industrial and Public Utility Bonds by Maturity, Journal of Business 49, 226-239. Griffin Paul A. and Antonio Z. Sanvicente, 1982, Common Stock Returns and Rating Changes: A Methodological Comparison, Journal of Finance 37, 103-119. Goh Jeremy C. and Louis H. Ederington, 1993, Is a Bond Rating Downgrade Bad News, Good News or No News for Stockholders?, Journal of Finance 48, 2001-2008. Gulko Les, 2002, Decoupling, Journal of Portfolio Management 28, 59-66. Hand R.M. John, Robert W. Holthausen and Richard W. Leftwich, 1992, The Effect of Bond Rating Agency Announcements on Bond and Stock Prices, Journal of Finance 47,733-752. Handjinicolaou George and Avner Kalay, 1984, Wealth Redistributions or Changes in Firm Value: An Analysis of returns to bondholders and stockholders around dividend announcements, Journal of Finance Economics 13, 35-63. Hettenhouse George and William Sartoris, 1976, An Analysis of the Informational Value of Bond-Rating Changes, Quarterly Review of Economics & Business 16, 65-78. Ho Thomas S. Y. and Roni Michaely, 1988, Information quality and market efficiency, Journal of Financial and Quantitative Analysis 23, 53-70. Hartmann, P., S. Straetmans, and C. Devries. “Asset Market Linkages in Crisis Periods.” Working Paper, European Central Bank. Jorior Philippe and Gaiyan Zhang, 2006, Information Effects of Bond Rating Changes: The Role of the Rating Prior to the Announcement, working paper Paul Merage School of Bussiness University of California at Irvine. Katz Steven, 1974, The Differential Effects of Bond Rating Changes Among Industrial and Public Utility Bonds by Maturity, Journal of Finance 29, 551-559. Khurana Inder K. and K. K. Raman, 2003, Are Fundamentals Priced in the Bond Market?, Contemporary Accounting Research 20, 465-494. Kliger Doron and Oded Sarig, 2000, The Information Value of Bond Rating, Journal of Finance 55, 2879-2902. Li Lingfeng, 2002, Macroeconmic Factors and The Correaltion of Stock and Bond Returns, Working Paper, Yale University. Maxwell F. William and Clifford P. Stephens, 2003, The Wealth Effect of Repurchases on Bondholders, Journal of Finance 58, 895-919 Maxwell F. William and Ramesh P. Rao, 2003, Do Spin-offs Expropriate Wealth from Bondholders?, Journal of Finance 58, 2087-2108. Pan Jun and Jack Bao, 2008, Excess Volatility of Corporate Bonds, working paper MIT Sloan School of Management. Pinches George E. and J. Clay Singleton, 1978, The Adjustment of Stock Prices to Bond Rating Changes, Journal of Finance 33, 29-44. Steiner Manfred and Volker G. Heinke, 2001, Event Study Concerning International Bond Price Effects of Credit Rating Actions, International Journal of Finance and Economics 6, 139-157. Weinstein Mark, 1977, The Effect of Rating Change Announcement on Bond Price, Journal of Financial Economics 5, 329-350. Goodwin procter LLP, http://goodwinprocter.com/~/media/E8F0D69EAEE444799DE39709AB80F227.ashx
摘要: 
This thesis is to examine the effects of a rating change announcement on bond and stock prices. Regulation FD became effective on October 23, 2000. We divide our sample period into before and after October 23, 2000 to test whether information is disclosed ahead of time. On bond market, we find the bond effect is significantly negative for downgrade over preannouncement and announcement period and no significant effect for upgrade. There is a significant negative reaction for downgrade in preannouncement period before October 23, 2000 and in announcement period after October 23, 2000. There is also a significant positive reaction after October 23, 2000. On stock market, we find the bond effect is significantly negative for downgrade over preannouncement and announcement period and a significant smaller effect for upgrade. Before October 23, 2000, the price effect is significantly negative for downgrade in the preannouncement period. After October 23, 2000, the effect is significantly negative for downgrade in the announcement period. We consider information is disclosed ahead of time on bond and stock market. We also consider that bond price is overreaction after October 23, 2000.

本篇論文主要研究信用評等改變宣告對債券與股票價格的影響。美國證券管理委員會在2000年10月23日實施公平揭露法。我們將樣本期間分為此法規實施前後,觀察資訊是否提前揭露。在債券市場,我們發現對於降評在宣告期間以及宣告前有顯著負的報酬,升評,則沒有顯著的反應。法規實施前,降評有顯著負的效果在宣告前,在法規實施後有顯著負的效果在宣告前以及宣告期間。另外,我們也發現在公平揭露法實施之後,債券市場對於降評在宣告之後存在顯著正報酬。在股票市場,我們發現對於降評在宣告前及宣告期間有顯著負的報酬,對於生平有顯著但是較小的正報酬。法規實施前,降評有著顯著負報酬在宣告前,而法規實施後,降評有顯著負報酬在宣告前及宣告期間。我們認為在法規實施之前,確實存在訊息提前揭露的情況,而在公平揭露法實施之後,雖然沒有完全改善,但此法規在資本市場發揮功效,有其存在的意義。
URI: http://hdl.handle.net/11455/23502
其他識別: U0005-2107200816321500
Appears in Collections:財務金融學系所

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