메뉴 건너뛰기




Volumn 19, Issue 1, 2006, Pages 119-157

Credit ratings and stock liquidity

Author keywords

[No Author keywords available]

Indexed keywords


EID: 29344437819     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/rfs/hhj004     Document Type: Review
Times cited : (116)

References (42)
  • 1
    • 0002060057 scopus 로고
    • The only game in town
    • Bagehot, W., 1971, "The Only Game in Town," Financial Analysts Journal, 27, 12-14, 22.
    • (1971) Financial Analysts Journal , vol.27 , Issue.22 , pp. 12-14
    • Bagehot, W.1
  • 2
    • 0040833101 scopus 로고    scopus 로고
    • Quotes, order flow, and price discovery
    • Blume, M., and M. Goldstein, 1997, "Quotes, Order Flow, and Price Discovery," Journal of Finance, 52, 221-244.
    • (1997) Journal of Finance , vol.52 , pp. 221-244
    • Blume, M.1    Goldstein, M.2
  • 3
    • 0040757858 scopus 로고    scopus 로고
    • The declining credit quality of U.S. corporate debt: Myth or reality?
    • Blume, M., F. Lin, and A. C. MacKinlay, 1998, "The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?" Journal of Finance, 53, 1389-1413.
    • (1998) Journal of Finance , vol.53 , pp. 1389-1413
    • Blume, M.1    Lin, F.2    MacKinlay, A.C.3
  • 5
    • 0030191751 scopus 로고    scopus 로고
    • Market microstructure and asset pricing: On the compensation for illiquidity in stock returns
    • Brennan, M., and A. Subrahmanyam, 1996, "Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns," Journal of Financial Economics, 41, 441-464.
    • (1996) Journal of Financial Economics , vol.41 , pp. 441-464
    • Brennan, M.1    Subrahmanyam, A.2
  • 6
    • 4744369762 scopus 로고    scopus 로고
    • Market-based evaluation for models to predict bond ratings and corporate bond trading strategy
    • Chan, K., and N. Jegadeesh, 2001, "Market-Based Evaluation for Models to Predict Bond Ratings and Corporate Bond Trading Strategy," Review of Pacific Basin Financial Markets and Policies, 7, 153-172.
    • (2001) Review of Pacific Basin Financial Markets and Policies , vol.7 , pp. 153-172
    • Chan, K.1    Jegadeesh, N.2
  • 8
    • 0344237801 scopus 로고    scopus 로고
    • Who's informed? An analysis of stock ownership and informed trading
    • The Mclntire School, University of Virginia
    • Dennis, P., and J. Weston, 2001, "Who's Informed? An Analysis of Stock Ownership and Informed Trading," Working Paper, The Mclntire School, University of Virginia.
    • (2001) Working Paper
    • Dennis, P.1    Weston, J.2
  • 9
    • 0040291377 scopus 로고    scopus 로고
    • The long-run stock returns following bond ratings changes
    • Dichev, I., and J. Piotroski, 2001, "The Long-Run Stock Returns Following Bond Ratings Changes," Journal of Finance, 56, 173-203.
    • (2001) Journal of Finance , vol.56 , pp. 173-203
    • Dichev, I.1    Piotroski, J.2
  • 10
    • 0003313336 scopus 로고    scopus 로고
    • Is information risk a determinant of asset returns?
    • Easley, D., S. Hvidkjaer, and M. O'Hara, 2002, "Is Information Risk a Determinant of Asset Returns?" Journal of Finance, 57, 2185-2221.
    • (2002) Journal of Finance , vol.57 , pp. 2185-2221
    • Easley, D.1    Hvidkjaer, S.2    O'Hara, M.3
  • 11
    • 0040898818 scopus 로고    scopus 로고
    • Liquidity, information, and infrequently traded stocks
    • Easley, D., N. Kiefer, M. O'Hara, and J. Paperman, 1996, "Liquidity, Information, and Infrequently Traded Stocks," Journal of Finance, 51, 1405-1436.
    • (1996) Journal of Finance , vol.51 , pp. 1405-1436
    • Easley, D.1    Kiefer, N.2    O'Hara, M.3    Paperman, J.4
  • 12
    • 84984434585 scopus 로고
    • Classification models and bond ratings
    • Ederington, L., 1985, "Classification Models and Bond Ratings," Financial Review, 20, 237-263.
    • (1985) Financial Review , vol.20 , pp. 237-263
    • Ederington, L.1
  • 14
    • 0000836177 scopus 로고
    • Estimation of the bid-ask spread and its components: A new approach
    • George, T., G. Kaul, and M. Nimalendran, 1991, "Estimation of the Bid-Ask Spread and Its Components: A New Approach," Review of Financial Studies, 4, 623-656.
    • (1991) Review of Financial Studies , vol.4 , pp. 623-656
    • George, T.1    Kaul, G.2    Nimalendran, M.3
  • 15
    • 38249030378 scopus 로고
    • Estimating the components of the bid-ask spread
    • Glosten, L., and L. Harris, 1988, "Estimating the Components of the Bid-Ask Spread," Journal of Financial Economics, 21, 123-142.
    • (1988) Journal of Financial Economics , vol.21 , pp. 123-142
    • Glosten, L.1    Harris, L.2
  • 16
    • 84993905018 scopus 로고
    • Is a bond rating downgrade bad news, good news, or no news for stockholders?
    • Goh, J., and L. Ederington, 1993, "Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders?" Journal of Finance, 48, 2001-2008.
    • (1993) Journal of Finance , vol.48 , pp. 2001-2008
    • Goh, J.1    Ederington, L.2
  • 17
    • 84977725519 scopus 로고
    • The effect of bond rating agency announcements on bond and stock prices
    • Hand, J., R. Holthausen, and R. Leftwich, 1992, "The Effect of Bond Rating Agency Announcements on Bond and Stock Prices," Journal of Finance, 47, 733-752.
    • (1992) Journal of Finance , vol.47 , pp. 733-752
    • Hand, J.1    Holthausen, R.2    Leftwich, R.3
  • 18
    • 0001740585 scopus 로고
    • The summary informativeness of stock trades: An econometric analysis
    • Hasbrouck, J., 1988, "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, 4, 571-595.
    • (1988) Review of Financial Studies , vol.4 , pp. 571-595
    • Hasbrouck, J.1
  • 19
    • 84977728940 scopus 로고
    • Measuring the information content of stock trades
    • Hasbrouck, J., 1991, "Measuring the Information Content of Stock Trades," Journal of Finance 46, 179-207.
    • (1991) Journal of Finance , vol.46 , pp. 179-207
    • Hasbrouck, J.1
  • 20
    • 84993869051 scopus 로고
    • The trades of market makers: An empirical analysis of NYSE specialists
    • Hasbrouck, J., and G. Sofianos, 1993, "The Trades of Market Makers: An Empirical Analysis of NYSE Specialists," Journal of Finance, 48, 1565-1593.
    • (1993) Journal of Finance , vol.48 , pp. 1565-1593
    • Hasbrouck, J.1    Sofianos, G.2
  • 21
    • 0001906581 scopus 로고    scopus 로고
    • The effect of bond-rating changes on bond price performance
    • Hite, G., and A. Warga, 1997, "The Effect of Bond-Rating Changes on Bond Price Performance," Financial Analysts Journal, 53, 35-51.
    • (1997) Financial Analysts Journal , vol.53 , pp. 35-51
    • Hite, G.1    Warga, A.2
  • 22
    • 0002498298 scopus 로고
    • The determination of long-term credit standing with financial ratios
    • Horrigan, J., 1966, "The Determination of Long-Term Credit Standing with Financial Ratios," Journal of Accounting Research, 4, 44-62.
    • (1966) Journal of Accounting Research , vol.4 , pp. 44-62
    • Horrigan, J.1
  • 23
    • 0031501452 scopus 로고    scopus 로고
    • The components of the bid-ask spread: A general approach
    • Huang, R., and H. Stoll, 1997, "The Components of the Bid-Ask Spread: A General Approach," Review of Financial Studies, 10, 995-1034.
    • (1997) Review of Financial Studies , vol.10 , pp. 995-1034
    • Huang, R.1    Stoll, H.2
  • 25
    • 4644355179 scopus 로고    scopus 로고
    • Combining bond rating forecasts using logit
    • Kamstra, M., P. Kennedy, and T. K. Suan, 2001, "Combining Bond Rating Forecasts Using Logit," Financial Review, 37, 75-96.
    • (2001) Financial Review , vol.37 , pp. 75-96
    • Kamstra, M.1    Kennedy, P.2    Suan, T.K.3
  • 26
    • 0000018330 scopus 로고
    • Statistical models of bond ratings: A methodological inquiry
    • Kaplan, R., and G. Urwitz, 1979, "Statistical Models of Bond Ratings: A Methodological Inquiry," Journal of Business, 52, 231-261.
    • (1979) Journal of Business , vol.52 , pp. 231-261
    • Kaplan, R.1    Urwitz, G.2
  • 27
    • 0039012081 scopus 로고    scopus 로고
    • The information value of bond ratings
    • Kliger, D., and O. Sarig, 2000, "The Information Value of Bond Ratings," Journal of Finance, 55, 2879-2902.
    • (2000) Journal of Finance , vol.55 , pp. 2879-2902
    • Kliger, D.1    Sarig, O.2
  • 28
    • 84977730741 scopus 로고
    • Inferring trade direction from intraday data
    • Lee, C. M. C., and M. Ready, 1991, "Inferring Trade Direction from Intraday Data," Journal of Finance, 46, 733-746.
    • (1991) Journal of Finance , vol.46 , pp. 733-746
    • Lee, C.M.C.1    Ready, M.2
  • 29
    • 84993865629 scopus 로고
    • A simple approach to valuing risky fixed and floating rate debt
    • Longstaff, F., and E. Schwartz, 1995, "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, 50, 789-819.
    • (1995) Journal of Finance , vol.50 , pp. 789-819
    • Longstaff, F.1    Schwartz, E.2
  • 30
    • 84993843615 scopus 로고
    • An analysis of changes in specialist inventories and quotations
    • Madhavan, A., and S. Smidt, 1993, "An Analysis of Changes in Specialist Inventories and Quotations," Journal of Finance, 48, 1595-1627.
    • (1993) Journal of Finance , vol.48 , pp. 1595-1627
    • Madhavan, A.1    Smidt, S.2
  • 31
    • 0000808665 scopus 로고
    • On pricing of corporate debt: The risk structure of interest rates
    • Merton, R., 1974, "On Pricing of Corporate Debt: the Risk Structure of Interest Rates," Journal of Finance, 29, 449-470.
    • (1974) Journal of Finance , vol.29 , pp. 449-470
    • Merton, R.1
  • 32
    • 0001166896 scopus 로고    scopus 로고
    • On the occurrence and consequences of inaccurate trade classification
    • Odders-White, E., 2000, "On the Occurrence and Consequences of Inaccurate Trade Classification," Journal of Financial Markets, 3, 259-286.
    • (2000) Journal of Financial Markets , vol.3 , pp. 259-286
    • Odders-White, E.1
  • 33
    • 84944831208 scopus 로고
    • A multivariate analysis of industrial bond ratings
    • Pinches, G., and K. Mingo, 1973, "A Multivariate Analysis of Industrial Bond Ratings," Journal of Finance, 28, 1-18.
    • (1973) Journal of Finance , vol.28 , pp. 1-18
    • Pinches, G.1    Mingo, K.2
  • 34
    • 84944837983 scopus 로고
    • The role of subordination and industrial bond ratings
    • Pinches, G., and K. Mingo, 1975, "The Role of Subordination and Industrial Bond Ratings," Journal of Finance, 30, 201-206.
    • (1975) Journal of Finance , vol.30 , pp. 201-206
    • Pinches, G.1    Mingo, K.2
  • 36
    • 0012341405 scopus 로고    scopus 로고
    • Post-trade transparency in nasdaq's national market system
    • Porter, D., and D. Weaver, 1998, "Post-Trade Transparency in Nasdaq's National Market System," Journal of Financial Economics, 50, 231-252.
    • (1998) Journal of Financial Economics , vol.50 , pp. 231-252
    • Porter, D.1    Weaver, D.2
  • 37
    • 0040250337 scopus 로고    scopus 로고
    • Do asset fire-sales exist?: An empirical investigation of commercial aircraft transactions
    • Pulvino, T., 1998, "Do Asset Fire-Sales Exist?: An Empirical Investigation of Commercial Aircraft Transactions," Journal of Finance, 53, 939-978.
    • (1998) Journal of Finance , vol.53 , pp. 939-978
    • Pulvino, T.1
  • 38
    • 84944043652 scopus 로고
    • A simple implicit measure of the effective bid-ask spread in an efficient market
    • Roll, R., 1984, "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market," Journal of Finance, 39, 1127-1139.
    • (1984) Journal of Finance , vol.39 , pp. 1127-1139
    • Roll, R.1
  • 40
    • 84977734744 scopus 로고
    • Inferring the components of the bid-ask spread: Theory and empirical tests
    • Stoll, H., 1989, "Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests," Journal of Finance, 44, 115-134.
    • (1989) Journal of Finance , vol.44 , pp. 115-134
    • Stoll, H.1
  • 41
    • 0001247152 scopus 로고
    • An alternative approach to predicting corporate bond ratings
    • West, R., 1970, "An Alternative Approach to Predicting Corporate Bond Ratings," Journal of Accounting Research, 7, 118-127.
    • (1970) Journal of Accounting Research , vol.7 , pp. 118-127
    • West, R.1
  • 42
    • 0000071699 scopus 로고
    • The effect of a rating change announcement on bond price
    • Weinstein, M., 1977, "The Effect of a Rating Change Announcement on Bond Price," Journal of Financial Economics, 5, 329-350.
    • (1977) Journal of Financial Economics , vol.5 , pp. 329-350
    • Weinstein, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.