Cross-Sectional Regularities in the Response of Stock Prices to Bond Rating Changes

Abstract

This paper examines whether a firm's stock price response to the new information provided by a bond rating change is related to its net intangible assets. A variable used to measure net intangible assets, which is based on current cost data, is found to have significant explanatory power in cross-sectional regressions for the set of rating downgrades.

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