Impson, C Michael; Karafiath, Imre; Glascock, John L - In: The Financial Review 27 (1992) 4, pp. 607-18
In this paper we examine the relationship between bond re-ratings and changes in systematic risk. Using both time series and cross-sectional regressions, we find that upgrades are not associated with a change in beta. Across the entire sample, downgrades are associated with an increase in beta....