IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?"

by Marshall E. Blume & Felix Lim & A. Craig Mackinlay

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Jorion, Philippe & Liu, Zhu & Shi, Charles, 2005. "Informational effects of regulation FD: evidence from rating agencies," Journal of Financial Economics, Elsevier, vol. 76(2), pages 309-330, May.
  2. Mizen, Paul & Tsoukas, Serafeim, 2011. "Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model," SIRE Discussion Papers 2011-69, Scottish Institute for Research in Economics (SIRE).
  3. Pinnuck, Matt & Shekhar, Chander, 2013. "The profit versus loss heuristic and firm financing decisions," Accounting, Organizations and Society, Elsevier, vol. 38(6), pages 420-439.
  4. Benmelech, Efraim & Bergman, Nittai K., 2009. "Collateral pricing," Journal of Financial Economics, Elsevier, vol. 91(3), pages 339-360, March.
  5. Franke, Günter & Krahnen, Jan Pieter, 2008. "The future of securitization," CFS Working Paper Series 2008/31, Center for Financial Studies (CFS).
  6. Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
  7. Krahnen, Jan Pieter & Weber, Martin, 2001. "Generally accepted rating principles: A primer," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 3-23, January.
  8. Van Laere, Elisabeth & Baesens, Bart, 2010. "The development of a simple and intuitive rating system under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 500-510, June.
  9. Curry, Timothy J. & Fissel, Gary S. & Hanweck, Gerald A., 2008. "Is there cyclical bias in bank holding company risk ratings?," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1297-1309, July.
  10. Chen, Jie & Hill, Paula, 2013. "The impact of diverse measures of default risk on UK stock returns," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5118-5131.
  11. Jo-Hui Chen & Chih-Sean Chen, 2011. "The effects of international off-site surveillance on bank rating changes," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(6), pages 1313-1329, October.
  12. Peresetsky, Anatoly, 2009. "Models for the External Support Component of Moody's Bank Ratings," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 14(2), pages 3-23.
  13. Dick-Nielsen, Jens & Feldhütter, Peter & Lando, David, 2012. "Corporate bond liquidity before and after the onset of the subprime crisis," Journal of Financial Economics, Elsevier, vol. 103(3), pages 471-492.
  14. Füss, Roland & Gehrig, Thomas & Rindler, Philipp B, 2011. "Scattered Trust - Did the 2007-08 financial crisis change risk perceptions?," CEPR Discussion Papers 8714, C.E.P.R. Discussion Papers.
  15. Perraudin, William & Taylor, Alex P., 2004. "On the consistency of ratings and bond market yields," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2769-2788, November.
  16. Konijn, Sander J. J. & Kräussl, Roman & Lucas, André, 2010. "Blockholder dispersion and firm value," CFS Working Paper Series 2010/05, Center for Financial Studies (CFS).
  17. Christensen, Jens H.E. & Hansen, Ernst & Lando, David, 2004. "Confidence sets for continuous-time rating transition probabilities," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2575-2602, November.
  18. Mattarocci, Gianluca, 2005. "Il rapporto tra impresa e agenzia di rating: la soluzione del multi-rating," MPRA Paper 4295, University Library of Munich, Germany, revised Mar 2005.
  19. Becker, Bo & Milbourn, Todd, 2011. "How did increased competition affect credit ratings?," Journal of Financial Economics, Elsevier, vol. 101(3), pages 493-514, September.
  20. Byers, Steven S. & Fields, L. Paige & Fraser, Donald R., 2008. "Are corporate governance and bank monitoring substitutes: Evidence from the perceived value of bank loans," Journal of Corporate Finance, Elsevier, vol. 14(4), pages 475-483, September.
  21. Baghai, Ramin & Servaes, Henri & Tamayo, Ane, 2011. "Have Rating Agencies Become More Conservative? Implications for Capital Structure and Debt Pricing," CEPR Discussion Papers 8446, C.E.P.R. Discussion Papers.
  22. Fecht, Falko & Füss, Roland & Rindler, Philipp B., 2014. "Corporate Transparency and Bond Liquidity," Working Papers on Finance 1404, University of St. Gallen, School of Finance.
  23. Lawrence J. White, 2013. "Credit Rating Agencies: An Overview," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 93-122, November.
  24. repec:dgr:uvatin:2009113 is not listed on IDEAS
  25. Hwang, Ruey-Ching & Chung, Huimin & Chu, C.K., 2010. "Predicting issuer credit ratings using a semiparametric method," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 120-137, January.
  26. Altman, Edward I. & Rijken, Herbert A., 2004. "How rating agencies achieve rating stability," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2679-2714, November.
  27. Chen, Yongmin & Gu, Dingwei & Yao, Zhiyong, 2013. "Rating Inflation versus Deflation: On Procyclical Credit Ratings," MPRA Paper 51159, University Library of Munich, Germany.
  28. Shen, Chung-Hua & Huang, Yu-Li & Hasan, Iftekhar, 2012. "Asymmetric benchmarking in bank credit rating," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 171-193.
  29. Kondo, Kazumine, 2011. "Have credit rating agencies become more stringent towards Japanese regional banks?," MPRA Paper 30500, University Library of Munich, Germany.
  30. Gunter Löffler, 2013. "Can Market Discipline Work in the Case of Rating Agencies? Some Lessons from Moody’s Stock Price," Journal of Financial Services Research, Springer, vol. 43(2), pages 149-174, April.
  31. Zhou, Chunsheng, 2001. "The term structure of credit spreads with jump risk," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 2015-2040, November.
  32. Peresetsky , Anatoly & Karminsky, Alexander, 2008. "Models for Moody’s bank ratings," BOFIT Discussion Papers 17/2008, Bank of Finland, Institute for Economies in Transition.
  33. Beaver, William H. & Shakespeare, Catherine & Soliman, Mark T., 2006. "Differential properties in the ratings of certified versus non-certified bond-rating agencies," Journal of Accounting and Economics, Elsevier, vol. 42(3), pages 303-334, December.
  34. Manzoni, Katiuscia, 2004. "Modeling Eurobond credit ratings and forecasting downgrade probability," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 277-300.
  35. Das, Sanjiv R. & Hanouna, Paul & Sarin, Atulya, 2009. "Accounting-based versus market-based cross-sectional models of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 719-730, April.
  36. Christina E. Bannier & Patrick Behr & Andre Güttler, 2010. "Rating opaque borrowers: why are unsolicited ratings lower?," Review of Finance, European Finance Association, vol. 14(2), pages 263-294.
  37. Spyros Pagratis & Marco Stringa, 2009. "Modeling Bank Senior Unsecured Ratings: A Reasoned Structured Approach to Bank Credit Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 1-39, June.
  38. Barnhill Jr., Theodore M. & Maxwell, William F., 2002. "Modeling correlated market and credit risk in fixed income portfolios," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 347-374, March.
  39. Güttler, André & Raupach, Peter, 2008. "The impact of downward rating momentum on credit portfolio risk," Discussion Paper Series 2: Banking and Financial Studies 2008,16, Deutsche Bundesbank, Research Centre.
  40. Daniel Roesch & Harald Scheule, 2011. "Securitization Rating Performance and Agency Incentives," Working Papers 182011, Hong Kong Institute for Monetary Research.
  41. Gunter Löffler & Alina Maurer, 2009. "Incorporating the Dynamics of Leverage into Default Prediction," SFB 649 Discussion Papers SFB649DP2009-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  42. Löffler, Gunter & Maurer, Alina, 2011. "Incorporating the dynamics of leverage into default prediction," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3351-3361.
  43. Das, Sanjiv R. & Hanouna, Paul, 2009. "Hedging credit: Equity liquidity matters," Journal of Financial Intermediation, Elsevier, vol. 18(1), pages 112-123, January.
  44. Dong Chen, 2014. "The Non-monotonic Effect of Board Independence on Credit Ratings," Journal of Financial Services Research, Springer, vol. 45(2), pages 145-171, April.
  45. repec:pab:wpbsad:12.07 is not listed on IDEAS
  46. Milidonis, Andreas, 2013. "Compensation incentives of credit rating agencies and predictability of changes in bond ratings and financial strength ratings," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3716-3732.
  47. John Y. Campbell & Glen B. Taksler, 2002. "Equity Volatility and Corporate Bond Yields," Harvard Institute of Economic Research Working Papers 1945, Harvard - Institute of Economic Research.
  48. Frederico Belo & Chen Xue & Lu Zhang, 2013. "A Supply Approach to Valuation," Review of Financial Studies, Society for Financial Studies, vol. 26(12), pages 3029-3067.
  49. Hirsch, Christian & Bannier, Christina E., 2007. "The economics of rating watchlists: evidence from rating changes," Frankfurt School - Working Paper Series 88, Frankfurt School of Finance and Management.
  50. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2008. "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England.
  51. Bank for International Settlements, 2011. "Portfolio and risk management for central banks and sovereign wealth funds," BIS Papers, Bank for International Settlements, number 58, April.
  52. Jang, Bong-Gyu & Park, Seyoung & Rhee, Yuna, 2013. "Optimal retirement with unemployment risks," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3585-3604.
  53. Duchin, Ran & Sosyura, Denis, 2014. "Safer ratios, riskier portfolios: Banks׳ response to government aid," Journal of Financial Economics, Elsevier, vol. 113(1), pages 1-28.
  54. Nejadmalayeri, Ali & Nishikawa, Takeshi & Rao, Ramesh P., 2013. "Sarbanes-Oxley Act and corporate credit spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2991-3006.
  55. Rablen, Matthew D., 2013. "Divergence in credit ratings," Finance Research Letters, Elsevier, vol. 10(1), pages 12-16.
  56. Robin Greenwood & Samuel G. Hanson, 2011. "Issuer Quality and the Credit Cycle," NBER Working Papers 17197, National Bureau of Economic Research, Inc.
  57. Rudiger Kiesel & William Perraudin & Alex Taylor, 2001. "The structure of credit risk: spread volatility and ratings transitions," Bank of England working papers 131, Bank of England.
  58. Xia, Han, 2014. "Can investor-paid credit rating agencies improve the information quality of issuer-paid rating agencies?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 450-468.
  59. Najah Attig & Sadok El Ghoul & Omrane Guedhami & Jungwon Suh, 2013. "Corporate Social Responsibility and Credit Ratings," Journal of Business Ethics, Springer, vol. 117(4), pages 679-694, November.
  60. Erik Berwart & Massimo Guidolin & Andreas Milidonis, 2013. "An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings," Working Papers 482, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  61. Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2012. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Working Papers 12.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
  62. Loffler, Gunter, 2004. "An anatomy of rating through the cycle," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 695-720, March.
  63. Hess, Dieter & Immenkötter, Philipp, 2014. "How much is too much? Debt capacity and financial flexibility," CFR Working Papers 14-03, University of Cologne, Centre for Financial Research (CFR).
  64. Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2003. "Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks’ Risk Classification Policies," Working Paper Series 155, Sveriges Riksbank (Central Bank of Sweden).
  65. Brunner, Antje & Pieter, Jan & Weber, Martin, 2000. "Information production in credit relationship: On the role of internal ratings in commercial banking," CFS Working Paper Series 2000/10, Center for Financial Studies (CFS).
  66. Tsung-Kang Chen & Hsien-Hsing Liao & Chia-Wu Lu, 2011. "A flow-based corporate credit model," Review of Quantitative Finance and Accounting, Springer, vol. 36(4), pages 517-532, May.
  67. Posch, Peter N., 2011. "Time to change. Rating changes and policy implications," Journal of Economic Behavior & Organization, Elsevier, vol. 80(3), pages 641-656.
  68. Purda, Lynnette D., 2005. "Mergers in the bond rating industry: does rating provider matter?," Journal of Multinational Financial Management, Elsevier, vol. 15(2), pages 155-169, April.
  69. Nejadmalayeri, Ali & Singh, Manohar, 2012. "Corporate taxes, strategic default, and the cost of debt," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 2900-2916.
  70. Barnhill, Theodore M. & Souto, Marcos Rietti, 2008. "Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations," Discussion Paper Series 2: Banking and Financial Studies 2008,13, Deutsche Bundesbank, Research Centre.
  71. Xing, Haipeng & Sun, Ning & Chen, Ying, 2012. "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 78-89.
  72. Hill, Paula & Brooks, Robert & Faff, Robert, 2010. "Variations in sovereign credit quality assessments across rating agencies," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1327-1343, June.
  73. Demirtas, K. Ozgur & Rodgers Cornaggia, Kimberly, 2013. "Initial credit ratings and earnings management," Review of Financial Economics, Elsevier, vol. 22(4), pages 135-145.
  74. Carey, Mark & Hrycay, Mark, 2001. "Parameterizing credit risk models with rating data," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 197-270, January.
  75. Guttler, Andre & Wahrenburg, Mark, 2007. "The adjustment of credit ratings in advance of defaults," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 751-767, March.
  76. Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
  77. Fernandez, Pablo, 2007. "A more realistic valuation: APV and WACC with constant book leverage ratio," IESE Research Papers D/715, IESE Business School.
  78. Amato, Jeffery D. & Furfine, Craig H., 2004. "Are credit ratings procyclical?," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2641-2677, November.
  79. Karminsky, Alexandr & Peresetsky, Anatoly, 2007. "Models of Banks Ratings," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 5(1), pages 3-19.
  80. Patrick Artus, 2005. "De Bâle 1 à Bâle 2. Effets sur le marché du crédit," Revue économique, Presses de Sciences-Po, vol. 56(1), pages 77-97.
  81. Irina Peaucelle, 2005. "Dynamic analysis of bankruptcy and economic waves," PSE Working Papers halshs-00590851, HAL.
  82. Jiang, John (Xuefeng) & Harris Stanford, Mary & Xie, Yuan, 2012. "Does it matter who pays for bond ratings? Historical evidence," Journal of Financial Economics, Elsevier, vol. 105(3), pages 607-621.
  83. Kim, Dong H. & Stock, Duane, 2014. "The effect of interest rate volatility and equity volatility on corporate bond yield spreads: A comparison of noncallables and callables," Journal of Corporate Finance, Elsevier, vol. 26(C), pages 20-35.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.