The long-run stock returns following bond ratings changes

• 成果类型: Article
• 署名作者: Dichev, LD; Piotroski, JD
• 署名单位: University of Michigan System; University of Michigan; University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00322
• 发表日期: 2001
• 页码: 173-203
• 关键词: MARKET-EFFICIENCY; OFFERINGS; earnings; prices; RISK; UNDERPERFORMANCE; performance; reality; drift; debt

摘要

Using essentially all Moody's bond ratings changes between 1970 and 1997, we find no reliable abnormal returns following upgrades. However, we find negative abnormal returns on the magnitude of 10 to 14 percent in the first year following downgrades. Additional results reveal that this underperformance is especially pronounced for small, low-credit-quality firms. Also, downgrades underperform in nearly all years in the sample, and a large part of the abnormal returns occur at subsequent earnings announcements. Thus, the evidence suggests that the poor returns result from an underreaction to the announcement of downgrades, rather than from lower systematic risk.