The role of credit rating agencies has been questioned in the recent years. Existing empirical studies provide mixed evidence on the informational value of bond ratings for financial investors. In this study we examine the relationship between bond ratings and credit spreads for US corporate...

This paper theoretically and empirically studies the relation between credit news uncertainty and corporate bond returns. Our model states that when the quality of credit news is uncertain, bond prices respond more to bad news than to good news, ambiguous news about default likelihood increases...

We examine the relative impact of Moody's and S&P ratings on bond yields and find that at issuance, yields on split rated bonds with superior Moody's ratings are about 8 basis points lower than yields on split rated bonds with superior S&P ratings. This suggests that investors differentiate...

Taking a cue from the assertion that “loose lips sink markets” (Carmassi and Micossi, 2010), this paper investigates to what extent and why political communication has had an impact on the sovereign bond spreads of selected euro area countries over the German Bund. Drawing on 25,000 news...

We find that augmenting a regression of excess bond returns on the term structure of forward rates with a rolling estimate of the mean realized jump size - identified from high-frequency bond returns using the bi-power variation technique - substantially increases the R2 of the regression. This...

We study the term structure of variance (total risk), systematic and idiosyncratic risk. Consistent with the expectations hypothesis, we find that, for the entire market, the slope of the term structure of variance is mainly informative about the path of future variance. Thus, there is little...

The London inter-bank offered rate (LIBOR) serves as a benchmark for many financial transactions worldwide today. These rates have been subject to manipulative conduct, false reporting and collusion. In forensic accounting, the Benford test has been implemented to successfully detect manipulated...

We find that Federal Open Market Committee (FOMC) actions (especially rate cuts) narrowed corporate credit spreads during the pre-crisis period of 2002-2007. During the 2008 crisis period, we find that both conventional cuts and quantitative easing decreased spreads. But FOMC inactions caused...

We find that recommendations of sell-side analysts on a particular stock are negatively influenced by the quality of the other stocks they are recommending that month, even after controlling for explicit benchmarks. This implies that if an analyst is rating a strong pool in a month, the best...

In almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default risk, liquidity, risk and the relative...