Do Bond Rating Changes Affect the Information Risk of Stock Trading?

Project: Research

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Description

In this project, the researchers will investigate whether bond credit rating changes affect the information risk of stock trading. By using the bond rating upgrades downgrades from 1996 to 2004, they will test whether the credit ratings play an important role in the determination of asymmetric information on stock trading and other measures of information risk. More specifically, when a firm’s bond credit rating is upgraded or downgraded, they will test whether the information asymmetry on its stock trading is significantly reduced or increased, the analysts’ forecast dispersion is dramatically decreased (increased), and the institutional equity holdings will increase (decrease) significantly. In addition, they will also test whether the degree of the change in asymmetric information is associated with the magnitude of the bond rating change. The project will enhance the understanding of the relationship between the disclosure manifested by bond rating changes and stock information asymmetry and other measures of information risk.

Detail(s)

Project number7002158
Grant typeSRG
StatusFinished
Effective start/end date1/04/072/09/08