Testing Beta Stationarity across Bond Rating Changes
In this paper we examine the relationship between bond re-ratings and changes in systematic risk. Using both time series and cross-sectional regressions, we find that upgrades are not associated with a change in beta. Across the entire sample, downgrades are associated with an increase in beta. Further the increase in beta is positively correlated with firm size. There is no evidence that movement within or across rating categories, the number of grades changed, or a change across the investment grade category have a differential impact on the change in beta. Copyright 1992 by MIT Press.
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Volume (Year): 27 (1992)
Issue (Month): 4 (November)
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