Credit Rating Changes and Subordinated Bond Spread: Evidence from China
We examine the bond spread reaction to subordinated bond rating changes during the sample period of 2006 to 2011 and find that bond spread reacted positively to downgrades, big in magnitude, but not statistically significant. The bond spread reaction to upgrades, however, was mixed and statistically insignificant, and small in magnitude. We conjecture that the insignificant statistical results regarding the effect of rating changes may be due to the lack of informational content of the ratings assigned to the subordinated bonds by Chinese credit rating agencies (CRAs).
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- James W. Wansley & Terrence M. Clauretie, 1985. "The Impact Of Creditwatch Placement On Equity Returns And Bond Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 31-42, March.
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