Do bond rating changes affect the information asymmetry of stock trading?

被引：11

作者：

He, Yan ^{[2
]}

Wang, Junbo ^{[3
]}

Wei, K. C. John ^{[1
]}

机构：

[1] Hong Kong Univ Sci & Technol, Dept Finance, Kowloon, Hong Kong, Peoples R China

[2] Indiana Univ SE, Sch Business, New Albany, IN 47150 USA

[3] City Univ Hong Kong, Dept Econ & Finance, Kowloon, Hong Kong, Peoples R China

来源：

JOURNAL OF EMPIRICAL FINANCE | 2011年 / 18卷 / 01期

关键词：

Credit rating changes; Information asymmetry; Probability of information-based trades (PIN); INSTITUTIONAL INVESTORS; CORPORATE GOVERNANCE; CONDITIONAL SKEWNESS; LARGE SHAREHOLDERS; DISCLOSURE LEVEL; CREDIT RATINGS; COST; RISK; EQUILIBRIUM; OWNERSHIP;

D O I：

10.1016/j.jempfin.2010.06.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a sample of 279 upgrades and 310 downgrades from 1996 to 2004, we find that bond rating changes affect the information asymmetry of stock trading and other measures of information risk. Specifically, when a firm's bond rating is upgraded, its stock information asymmetry and its analysts' earnings forecast dispersion are significantly reduced, while the institutional equity holdings of its shares are significantly increased. The reverse is true for a downgrade. In addition, the degree of change in stock information asymmetry is positively associated with the magnitude of the bond rating changes. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：103 / 116

页数：14

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