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Timeliness of Spread Implied Ratings
16 references·1 citing·36 second hop
Timeliness of Spread Implied Ratings (2007)Timeliness of Spread Implied RatingsThe relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)The relationship between cred…How rating agencies achieve rating stability (2004)How rating agencies achieve r…Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Corporate Yield Spreads: Defa…Comparing possible proxies of corporate bond liquidity (2004)Comparing possible proxies of…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis (1999)The Procyclical Role of Ratin…Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…The Relation Between Treasury Yields and Corporate Bond Yield Spreads (1998)The Relation Between Treasury…Bond Rating Agencies and Stock Analysts: Who Knows What When? (1998)Bond Rating Agencies and Stoc…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…A Simple Approach to Valuing Risky Fixed and Floating Rate Debt (1995)A Simple Approach to Valuing …Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)Liquidity, Maturity, and the …The effect of bond rating changes on common stock prices (1986)The effect of bond rating cha…Asset pricing and the bid-ask spread (1986)Asset pricing and the bid-ask…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…The financial analysts journal (1960)The financial analysts journalMarket and Model Credit Default Swap Spreads: Mind the Gap! (2009)Market and Model Credit Defau…The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Default Risk in Equity Returns (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)The theory and practice of econometrics (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Common Factors Affecting Bond Returns (1991)Estimating the Price of Default Risk (1999)Do Credit Spreads Reflect Stationary Leverage Ratios? (2001)A Preferred-Habitat Model of the Term Structure of Interest Rates (2009)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Liquidity Risk and Expected Stock Returns (2003)Forecasting Default with the Merton Distance to Default Model (2008)The Aggregate Demand for Treasury Debt (2012)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)The Economics of Structured Finance (2009)Corporate bond liquidity before and after the onset of the subprime crisis (2011)Common risk factors in the returns on stocks and bonds (1993)Equity Volatility and Corporate Bond Yields (2003)Corporate Yield Spreads and Bond Liquidity (2007)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Modelling the persistence of conditional variances (1986)First Impressions Matter: A Model of Confirmatory Bias (1999)Institutional Investors and Equity Prices (2001)
this work references cited by second hop

References

  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 1986Asset pricing and the bid-ask spread5,087 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt2,090 cited
  • 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 1960The financial analysts journal1,043 cited
  • 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,008 cited
  • 1998The Relation Between Treasury Yields and Corporate Bond Yield Spreads778 cited
  • 1986The effect of bond rating changes on common stock prices734 cited
  • 1991Liquidity, Maturity, and the Yields on U.S. Treasury Securities503 cited
  • 1999The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis479 cited
  • 2004How rating agencies achieve rating stability467 cited
  • 1998Bond Rating Agencies and Stock Analysts: Who Knows What When?

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344 cited
  • 2004Comparing possible proxies of corporate bond liquidity313 cited
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    • 2009Market and Model Credit Default Swap Spreads: Mind the Gap!21 cited