The Real Consequences of Market Segmentation

• 成果类型: Article
• 署名作者: Chernenko, Sergey; Sunderam, Adi
• 署名单位: University System of Ohio; Ohio State University; Harvard University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr143
• 发表日期: 2012
• 页码: 2041
• 关键词: monetary-policy; Investor sentiment; Credit ratings

摘要

We study the real effects of market segmentation due to credit ratings by using a matched sample of firms just above and just below the investment-grade cutoff. These firms have similar observables, including average investment rates. However, flows into high-yield mutual funds have an economically significant effect on the issuance and investment of the speculative-grade firms relative to their matches, especially for firms likely to be financially constrained. The effect is associated with the discrete change in label from investment- to speculative-grade, not with changes in continuous measures of credit quality. We do not find similar effects at other rating boundaries.