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Financial Analysts Journal Volume 53, 1997 - Issue 3
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FEATURE ARTICLES

The Effect of Bond-Rating Changes on Bond Price Performance

Gailen Hite Gailen Hite is a professor in the Finance and Economics Division at Columbia University.
&
Arthur Warga Arthur Warga is the Sheldon B. Lubar Professor of Finance in the School of Business Administration at the University of Wisconsin at Milwaukee.
Pages 35-51 | Published online: 02 Jan 2019

REFERENCES

  • Altman, E.I., and D.L. Kao. 1992. “The Implications of Corporate Bond Ratings Drift.” Financial Analysts Journal, vol. 48, no. 3 (May/June): 64–75.
  • Carty, L.V., and J.S. Fons. 1994. “Measuring Changes in Corporate Credit Quality.” Journal of Fixed Income, vol. 4, no. 1 (June): 27–41.
  • Dueweke, D.G., M. Hyland, and F. Siesel. 1992. “Measuring the New York Stock Exchange's Share of Corporate Trading Volume.” Extra Credit: The Journal of High Yield Research Merrill Lynch Global Securities Research & Economics Group (September/October): 9–16.
  • Fridson, Martin S.. 1989. “The Economics of Liquidity.”Journal of High Yield Bond Research Merrill Lynch Capital Markets:: 4–13.
  • Hand, J., Robert W. Holthausen, and Richard W. Leftwich. 1992. “The Effect of Bond Rating Agency Announcements on Bond and Stock Prices.” Journal of Finance, vol. 47, no. 2 (June): 733–52.
  • Lucas, D.J., and J.G. Lonski. 1992. “Changes in Corporate Credit Quality 1970–1990.” Journal of Fixed Income, vol. 1, no. 4 (March): 7–14.
  • Warga, A.. 1991. “Corporate Bond Price Discrepancies in the Dealer and Exchange Markets.” Journal of Fixed Income, vol. 1, no. 3 (December): 7–16.
  • Warga, A.. 1995. “A Fixed Income Data Base.” Fixed Income Research Program, University of Wisconsin at Milwaukee.
  • Warga, A., and I. Welch. 1993. “Bondholder Losses in Leveraged Buyouts.” Review of Financial Studies, vol. 6, no. 4 (Winter): 959–82.
  • Weinstein, Mark I.. 1977. “The Effect of a Rating Change Announcement on Bond Price.” Journal of Financial Economics, vol. 5, no. 3 (December): 329–50.

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