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Zum Zusammenhang zwischen Bond-Credit Spreads und Ratings


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  • Sascha Mergner


Ziel der vorliegenden Arbeit ist eine empirische Analyse des Zusammenhangs zwischen Bond-Credit Spreads und Ratings. Anhand US- amerikanischer Unternehmensanleihen soll untersucht werden, welche Zusammenhänge an den Maerkten zu beobachten sind, welchen Veränderungen diese im Zeitablauf unterliegen und wie sich Ratingveraenderungen auf Spreads auswirken. Da das zuletzt genannte Untersuchungsziel in der Literatur umstritten ist, wird eine auf aktuellen Daten beruhende Regressionsanalyse durchgeführt, um eigene Aussagen über den Informationsgehalt von Ratings herzuleiten. In Hinblick auf den Informationsgehalt von Ratings muss zwischen Up- und Downgrades unterschieden werden. Während Upgrades von den Maerkten vorweggenommen werden, zeigt sich, dass Downgrades sowohl oeffentliche als auch den Marktteilnehmern unbekannte Informationen zugrunde liegen.

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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0510024.

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Length: 76 pages
Date of creation: 20 Oct 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0510024

Note: Type of Document - pdf; pages: 76. 76 pages, pdf, language: German
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Related research

Keywords: Credit Spreads; Corporate Bonds; Ratings; EMH; Informationsgehalt-Hypothese; Kapitalmarkteffizienz;

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Cited by:
  1. Odermann, Alexander & Cremers, Heinz, 2013. "Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress," Frankfurt School - Working Paper Series 204, Frankfurt School of Finance and Management.


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