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標題: The effect of bond rating changes on bond and stock prices
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
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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.

其他識別: U0005-2107200816321500
Appears in Collections:財務金融學系所

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