Chen, Zhihua; Lookman, Aziz; Schürhoff, Norman; Seppi, … - C.E.P.R. Discussion Papers - 2012
The 2005 inclusion of Fitch ratings in the Lehman composite index ratings provides a quasi-natural experiment to identify rating-based market segmentation in the corporate bond market. Split-rated bonds with favorable Fitch rating that were mechanically upgraded to investment-grade status...