Do bond rating changes affect the information asymmetry of stock trading?
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 103-116 |
| Journal / Publication | Journal of Empirical Finance |
| Volume | 18 |
| Issue number | 1 |
| Publication status | Published - Jan 2011 |
Link(s)
Abstract
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.
Research Area(s)
- Credit rating changes, Information asymmetry, Probability of information-based trades (PIN)
Citation Format(s)
Do bond rating changes affect the information asymmetry of stock trading? / He, Yan; Wang, Junbo; Wei, K.C. John.
In: Journal of Empirical Finance, Vol. 18, No. 1, 01.2011, p. 103-116.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
