Credit ratings and stock liquidity

• 成果类型: Article
• 署名作者: Odders-White, ER; Ready, MJ
• 署名单位: University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhj004
• 发表日期: 2006
• 页码: 119
• 关键词: BID-ASK SPREAD; corporate-debt; bond; INFORMATION; components; RISK

摘要

We analyze contemporaneous and predictive relations between credit ratings and measures of equity market liquidity and find that common measures of adverse selection, which reflect a portion of the uncertainty about future firm value, are larger when credit ratings are poorer. We also show that future rating changes can be predicted using current levels of adverse selection. Collectively, our results validate widely used microstructure measures of adverse selection and offer new insights into the value of credit ratings and the specific nature of the information they contain.