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Zum Zusammenhang zwischen Bond-Credit Spreads und Ratings


  • 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.

Suggested Citation

  • Sascha Mergner, 2005. "Zum Zusammenhang zwischen Bond-Credit Spreads und Ratings," Finance 0510024, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0510024
    Note: Type of Document - pdf; pages: 76. 76 pages, pdf, language: German

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    References listed on IDEAS

    1. B Rsch-Supan, Axel H. & Jens K Ke, F. & Winter, Joachim K., 2005. "Pension reform, savings behavior, and capital market performance," Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(01), pages 87-107, March.
    2. Author-Name: John Geanakoplos & Michael Magill & Martine Quinzii, 2004. "Demography and the Long-Run Predictability of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(1), pages 241-326.
    3. Barry P. Bosworth & Ralph C. Bryant & Gary Burtless, 2004. "The Impact of Aging on Financial Markets and the Economy: A Survey," Working Papers, Center for Retirement Research at Boston College 2004-23, Center for Retirement Research.
    4. Werner Dirschmid & Ernst Glatzer, 2004. "Determinants of the Household Saving Rate in Austria," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 25-38.
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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.

    More about this item


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

    JEL classification:

    • G - Financial Economics

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