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On the consistency of ratings and bond market yields · Study

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ArticleOn the consistency of ratings and bond market yields

William Robert Maurice Perraudin2004

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Articlegreen2004

On the consistency of ratings and bond market yields

William Robert Maurice Perraudin · Alex P. Taylor

66 citations·0/0 files stored·Journal of Banking & Finance

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Credit Risk and Financial Regulations Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1993Common risk factors in the returns on stocks and bonds 1987Parsimonious Modeling of Yield Curves 2001Explaining the Rate Spread on Corporate Bonds 1987The Information in Long-Maturity Forward Rates 1992The Effect of Bond Rating Agency Announcements on Bond and Stock Prices 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1998The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?1979Statistical Models of Bond Ratings: A Methodological Inquiry

Cited by

2007The Credit Rating Industry: Competition and Regulation 2002Strengthening banks' market discipline and leveling the playing field: Are the two compatible?2015Economic Crises, Economic Structure, and State Credit Quality Through‐the‐Cycle 2007Timeliness of Spread Implied Ratings

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2007The Price Impact of Rating Announcements: Which Announcements Matter?preprint · 8 shared references 2002Yield Spread and Term to Maturity: Default vs. Liquidityarticle · 8 shared references 2016Credit Ratings and Credit Risk: Is One Measure Enough?article · 7 shared references 2005Credit Ratings and Stock Liquidityarticle · 7 shared references 1999A Comparison of Bond Ratings from Moody's S&P and Fitch IBCAarticle · 7 shared references 1987THE IMPACT OF SPLIT BOND RATINGS ON RISK PREMIAarticle · 7 shared references

Details

Year2004

Typearticle

Published2004-09-30

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations66

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.1016/j.jbankfin.2004.06.009

openalex_workW2076069944

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