The Effect of Bond-Rating Changes on Bond Price Performance

Marshall, S. Brooks

doi:10.2469/dig.v28.n1.204

Cited by 2 publications

(1 citation statement)

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“…This is captured on a 21-step numerical scale starting from Aaa = 1 to C = 21. According to Hite and Warga (1997), rating changes from investment grade to non-investment grade have a considerable effect on fixed-income prices. This aspect is covered by the dummy variables IG_Grade d which is 1 for investment grade ratings.…”

Section: Rating Specific Variablesmentioning

confidence: 99%

ESG in credit ratings and the impact on financial markets

Kiesel

Lücke

2019

Financial Market

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This study examines environment, social, governance (ESG) consideration in rating reports published by credit rating agencies. 3,719 Moody's credit rating reports between 2004 and 2015 are examined and the ESG consideration is analyzed using a latent dirichlet allocation (LDA) approach. We further analyze the stock returns and credit default swap (CDS) spread changes to check whether ESG consideration has an effect on the capital market reactions. We find a small but present consideration of ESG in rating decisions. Within ESG, corporate governance plays the most important role. Moreover, the results reveal that ESG consideration is a significant determinant in the stock return and CDS spread around the rating announcement. We find that all ESG criteria are important for equity and debt investors.

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Section: Rating Specific Variablesmentioning

confidence: 99%

ESG in credit ratings and the impact on financial markets

Kiesel

Lücke

2019

Financial Market

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Revisiting ‘The Sea’: Bond's English Comedy in Toulouse

Stuart¹

1999

New Theatre Quarterly

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Edward Bond's The Sea was first presented at the Royal Court Theatre under William Gaskill's direction in 1973, and later confirmed as a modern classic in its revival in 1991 at the National Theatre– where it was claimed that it could only have been written by an Englishman. But, as La Mer, it was chosen to open the Thėâtre de la Citė in Toulouse, where Bond scholar and editor Ian Stuart saw Jacques Rosner's production in October, and here reports on the resultant meeting between an English comedy and ‘French serenity’.

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The Effect of Bond-Rating Changes on Bond Price Performance

Cited by 2 publications

References 0 publications

ESG in credit ratings and the impact on financial markets

ESG in credit ratings and the impact on financial markets

Revisiting ‘The Sea’: Bond's English Comedy in Toulouse

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