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Research Letter

Time series properties of corporate credit rating transitions by regions and rating agencies

Gyu-Sik Hana Department of Business Administration, Jeonbuk National University, Jeonju, Republic of KoreaCorrespondence[email protected]
&
Young Kyu Kimb National Pension Service Investment Management, Jeonju, Republic of Korea
Published online: 23 Jun 2024

References

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  • Bangia, A., F. X. Diebold, A. Kronimus, C. Schagen, and T. Schuermann. 2002. “Ratings Migration and the Business Cycle, with Application to Credit Portfolio Stress Testing.” Journal of Banking and Finance 26 (2–3): 445–474. https://doi.org/10.1016/S0378-4266(01)00229-1.
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  • Hand, J. R. M., R. W. Holthausen, and R. W. Leftwich. 1992. “The Effect of Bond Rating Agency Announcements on Bond and Stock Prices.” The Journal of Finance 47 (2): 733–752. https://doi.org/10.1111/j.1540-6261.1992.tb04407.x.
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  • Lando, D., and T. M. Skødeberg. 2002. “Analyzing Rating Transitions and Rating Drift with Continuous Observations.” Journal of Banking and Finance 26 (2–3): 423–444. https://doi.org/10.1016/S0378-4266(01)00228-X.
  • Levin, A., C.-F. Lin, and C.-S. James Chu. 2002. “Unit Root Tests in Panel Data: Asymptotic and Finite-Sample Properties.” Journal of Econometrics 108 (1): 1–24.
  • Parnes, D. 2007. “Time Series Patterns in Credit Ratings.” Finance Research Letters 4 (4): 217–226. https://doi.org/10.1016/j.frl.2007.09.001.
  • Phillips, P. C., and P. Perron. 1988. “Testing for a Unit Root in Time Series Regression.” Biometrika 75 (2): 335–346. https://doi.org/10.1093/biomet/75.2.335.
  • Usman, A. 2023. “Credit Ratings and Stock Price Crash Risk.” Applied Economics Letters, Forthcoming. https://doi.org/10.1080/13504851.2023.2212955.

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