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On the consistency of ratings and bond market yields
16 references·8 citing·43 second hop
On the consistency of ratings and bond market yields (2004)On the consistency of ratings and bond ma…How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)How Much of the Corporate-Tre…Explaining the Rate Spread on Corporate Bonds (2001)Explaining the Rate Spread on…The Information Value of Bond Ratings (2000)The Information Value of Bond…Stability of rating transitions (2000)Stability of rating transitio…The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality? (1998)The Declining Credit Quality …The Credit Rating Industry (1995)The Credit Rating IndustryIs a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders? (1993)Is a Bond Rating Downgrade Ba…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)The Effect of Bond Rating Age…Measuring Corporate Bond Mortality and Performance (1989)Measuring Corporate Bond Mort…Money demand in the United States: A quantitative review (1988)Money demand in the United St…The Information in Long-Maturity Forward Rates (1987)The Information in Long-Matur…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Term Structure Modeling Using Exponential Splines (1982)Term Structure Modeling Using…Statistical Models of Bond Ratings: A Methodological Inquiry (1979)Statistical Models of Bond Ra…THE TAX‐ADJUSTED YIELD CURVE (1975)THE TAX‐ADJUSTED YIELD CURVELiquidity risk and corporate bond yield spread: Evidence from China (2020)Liquidity risk and corporate …Economic Crises, Economic Structure, and State Credit Quality Through‐the‐Cycle (2015)Economic Crises, Economic Str…Determinants of credit spreads: The role of ambiguity and information uncertainty (2013)Determinants of credit spread…Product market advertising and corporate bonds (2012)Product market advertising an…The Notching Rule for Subordinated Debt and the Information Content of Debt Rating (2010)The Notching Rule for Subordi…Timeliness of Spread Implied Ratings (2007)Timeliness of Spread Implied …The Credit Rating Industry: Competition and Regulation (2007)The Credit Rating Industry: C…Strengthening banks' market discipline and leveling the playing field: Are the two compatible? (2002)Strengthening banks' market d…Trends and random walks in macroeconomic time series (1988)Business conditions and expected returns on stocks and bonds (1989)Dynamic Asset Pricing Theory. (1993)Investor Psychology and Asset Pricing (2001)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Financial Ratios As Predictors of Failure (1966)Comparison of Bayesian and regression approaches to the study of information processing in judgment (1971)Linear models in decision making. (1974)Determinants and Impact of Sovereign Credit Ratings (1996)The Long‐Run Stock Returns Following Bond Ratings Changes (2001)Does Corporate Social Responsibility (CSR) Improve Credit Ratings? Evidence from Geographic Identification (2013)Limited-dependent and qualitative variables in econometrics (1983)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)The Econometrics of Financial Markets (1997)Measuring Abnormal Bond Performance (2008)How did increased competition affect credit ratings? (2011)Corporate Social Responsibility and Credit Ratings (2013)The Theory of Investment Value, by John Burr Williams (1939)Measuring the Term Structure of Interest Rates (1971)What Moves the Stock and Bond Markets? A Variance Decomposition for Long‐Term Asset Returns (1993)Term Structure of Interest Rates (2008)Noise as Information for Illiquidity (2013)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)Equity Volatility and Corporate Bond Yields (2003)Corporate Yield Spreads and Bond Liquidity (2007)The Pricing of Options and Corporate Liabilities (1973)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Liquidity and Asset Prices (2006)The Illiquidity of Corporate Bonds (2011)Forecasting the Term Structure of Government Bond Yields (2003)The U.S. Treasury yield curve: 1961 to the present (2007)The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)The Credit Ratings Game (2009)The Economics of Structured Finance (2009)Analyzing rating transitions and rating drift with continuous observations (2002)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)How rating agencies achieve rating stability (2004)
this work references cited by second hop

References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2001Explaining the Rate Spread on Corporate Bonds1,580 cited
  • 1987The Information in Long-Maturity Forward Rates1,552 cited
  • 1992The Effect of Bond Rating Agency Announcements on Bond and Stock Prices1,002 cited
  • 2012How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk?1,000 cited
  • 1998The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?741 cited
  • 1979Statistical Models of Bond Ratings: A Methodological Inquiry651 cited
  • 2000Stability of rating transitions562 cited
  • 1975THE TAX‐ADJUSTED YIELD CURVE548 cited
  • 1993Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders?512 cited
  • 1995The Credit Rating Industry455 cited
  • 2000The Information Value of Bond Ratings433 cited
  • 1989Measuring Corporate Bond Mortality and Performance426 cited
  • 1988Money demand in the United States: A quantitative review350 cited
  • 1982Term Structure Modeling Using Exponential Splines

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323 cited

Cited by

  • 2007The Credit Rating Industry: Competition and Regulation61 cited
  • 2002Strengthening banks' market discipline and leveling the playing field: Are the two compatible?42 cited
  • 2015Economic Crises, Economic Structure, and State Credit Quality Through‐the‐Cycle33 cited
  • 2007Timeliness of Spread Implied Ratings28 cited
  • 2020Liquidity risk and corporate bond yield spread: Evidence from China24 cited
  • 2010The Notching Rule for Subordinated Debt and the Information Content of Debt Rating23 cited
  • 2013Determinants of credit spreads: The role of ambiguity and information uncertainty23 cited
  • 2012Product market advertising and corporate bonds16 cited