The long-run stock returns following bond ratings changes

Journal of Finance

Volumn 56, Issue 1, 2001, Pages 173-203

  Dichev, Ilia D ^a   Piotroski, Joseph D ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040291377     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00322     Document Type: Article

References (31)

1. Altman, Edward I., 1993, Corporate Financial Distress and Bankruptcy, 2nd ed. (Wiley, New York).
2. Barber, Brad M., and John D. Lyon, 1997, Detecting long-run abnormal stock returns: The empirical power and specification of test statistics, Journal of Financial Economics 43, 341-372.
3. Bernard, Victor L., and Jacob K. Thomas, 1989, Post-earnings announcement drift: Delayed price response or risk premium, Journal of Accounting Research 27, 1-36.
4. Bernard, Victor L., and Jacob K. Thomas, 1990, Evidence that stock prices do not fully reflect the implications of current earnings for future earnings, Journal of Accounting and Economics 13, 305-340.
5. Brav, Alon, and Paul A. Gompers, 1997, Myth or reality? The long-run underperformance of initial public offerings: Evidence from venture and nonventure capital-backed companies, Journal of Finance 52, 1791-1821.
6. Blume, Marshall E., Felix Lim, and A. Craig MacKinlay, 1998, The declining credit quality of U.S. corporate debt: Myth or reality?, Journal of Finance 53, 1389-1413.
7. Chan, Louis, Narasimhan Jegadeesh, and Josef Lakonishok, 1996, Momentum strategies, Journal of Finance 51, 1681-1713.
8. Dichev, Ilia D., 1998, Is the risk of bankruptcy a systematic risk?, Journal of Finance 53, 1131-1148.
9. Fama, Eugene F., 1998, Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics 49, 283-306.
10. Fama, Eugene and Kenneth French. 1992, The cross-section of expected stock returns, Journal of Finance 47, 427-465.
11. Foster, George, Chris Olsen, and Terry Shevlin, 1984, Earnings releases, anomalies, and the behavior of security returns, Accounting Review 59, 574-603.
12. Glascock, John L., Wallace N. Davidson, and Glenn V. Henderson, 1987, Announcement effects of Moody's bond ratings changes on equity returns, Quarterly Journal of Business and Economics 26, 67-78.
13. Hand, John R. M., Robert W. Holthausen, and Richard W. Leftwich, 1992, The effect of bond rating agency announcements on bond and stock prices, Journal of Finance 47, 733-752.
14. Holthausen, Robert W., and Richard W. Leftwich, 1986, The effect of bond rating changes on common stock prices, Journal of Financial Economics 17, 57-89.
15. Ikenberry, David, Josef Lakonishok, and Theo Vermaelen, 1995, Market underreaction to open market share repurchases, Journal of Financial Economics 39, 181-208.
16. Ikenberry, David, Graeme Rankine, and Earl K. Stice, 1996, What do stock splits really signal?, Journal of Financial and Quantitative Analysis 31, 357-377.
17. Jaffe, Jeffrey, 1974, Special information and insider trading, Journal of Business 47, 411-428.
18. Jewell, Jeff, and Miles Livingston, 1998, Split ratings, bond yields, and underwriter spreads, Journal of Financial Research 21, 185-204.
19. Kaplan, Robert, and G. Urwitz, 1979, Statistical models of bond ratings: A methodological inquiry, Journal of Business 52, 231-261.
20. Keenan, Sean C., Lea V. Carty, and Igor Shtogrin, 1998, Historical Default Rates of Corporate Bond Issuers (1920-1997), (Moody's Global Credit Research, New York.)
21. Kothari, S. P., and Jerold B. Warner, 1997, Measuring long-horizon security price performance, Journal of Financial Economics 43, 301-339.
22. Lakonishok, Joseph, Andrei Shleifer, and Robert Vishny, 1994, Contrarian investment, extrapolation, and risk, Journal of Finance 49, 1541-1578.
23. LaPorta, Raphael, Joseph Lakonishok, Andrei Shleifer and Robert Vishny, 1997, Good news for value stocks: Further evidence on market efficiency, Journal of Finance 52, 859-874.
24. Loughran, Tim, and Jay R. Ritter, 1995, The new issues puzzle, Journal of Finance 50, 23-51.
25. Mandelker, Gershon, 1974, Risk and return: The case of merging firms, Journal of Financial Economics 1, 303-335.
26. Michaely, Roni, Richard Thaler, and Kent Womack, 1995, Price reactions to dividend initiations and omissions: Overreaction or drift?, Journal of Finance 50, 573-608.
27. Pinches, George E., and J. Clay Singleton, 1978, The adjustment of stock prices to bond rating changes, Journal of Finance 33, 29-44.
28. Shumway, Tyler, 1997, The delisting bias in CRSP data, Journal of Finance 52, 327-340.
29. Spiess, D. Katherine, and John Affleck-Graves, 1995, Underperformance in long-run stock returns following seasoned equity offerings, Journal of Financial Economics 38, 243-267.
30. Spiess, D. Katherine, and John Affleck-Graves, 1999, The long-run performance of stock returns following debt offerings, Journal of Financial Economics 54, 45-73.
31. Weinstein, Mark I., 1977, The effect of a rating change announcement on bond price, Journal of Financial Economics 5, 329-350.