TY - JOUR
T1 - Do bond rating changes affect the information asymmetry of stock trading?
AU - He, Yan
AU - Wang, Junbo
AU - Wei, K.C. John
PY - 2011/1
Y1 - 2011/1
N2 - Using a sample of 279 upgrades and 310 downgrades from 1996 to 2004, we find that bond rating changes affect the information asymmetry of stock trading and other measures of information risk. Specifically, when a firm's bond rating is upgraded, its stock information asymmetry and its analysts' earnings forecast dispersion are significantly reduced, while the institutional equity holdings of its shares are significantly increased. The reverse is true for a downgrade. In addition, the degree of change in stock information asymmetry is positively associated with the magnitude of the bond rating changes. © 2010 Elsevier B.V.
AB - Using a sample of 279 upgrades and 310 downgrades from 1996 to 2004, we find that bond rating changes affect the information asymmetry of stock trading and other measures of information risk. Specifically, when a firm's bond rating is upgraded, its stock information asymmetry and its analysts' earnings forecast dispersion are significantly reduced, while the institutional equity holdings of its shares are significantly increased. The reverse is true for a downgrade. In addition, the degree of change in stock information asymmetry is positively associated with the magnitude of the bond rating changes. © 2010 Elsevier B.V.
KW - Credit rating changes
KW - Information asymmetry
KW - Probability of information-based trades (PIN)
UR - http://www.scopus.com/inward/record.url?scp=78650516448&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-78650516448&origin=recordpage
U2 - 10.1016/j.jempfin.2010.06.001
DO - 10.1016/j.jempfin.2010.06.001
M3 - RGC 21 - Publication in refereed journal
SN - 0927-5398
VL - 18
SP - 103
EP - 116
JO - Journal of Empirical Finance
JF - Journal of Empirical Finance
IS - 1
ER -