The declining credit quality of U.S. corporate debt: myth or reality?

Article Abstract:

In recent years, the number of downgrades in corporate bond ratings has exceeded the number of upgrades, leading some to conclude that the credit quality of U.S. corporate debt has declined. However, an alterantive explanation of this apparent decline in credit quality is that the rating agencies are now using more stringent standards in assigning ratings. An ordered probit analysis of a panel of firms from 1978 through 1995 suggests that rating standards have indeed become more stringent, implying that at least part of the downward trend in ratings is the result of changing standards. (Reprinted by permission of the publisher.)

Commercial Banks, Commercial Banking, Commercial Bank Corporate Svcs, Credit ratings, Debt financing (Corporations), Debt financing, Rating agencies (Securities), Corporate banking

---

Order imbalances and stock price movements on October 19 and 20, 1987

Article Abstract:

On October 19, 1987, NYSE stocks in the S&P index declined seven percentage points more than NYSE stocks not in this index. In the first hour of trading on October 20, the S&P stocks virtually recovered to the level of the non-S&P stocks. There is a strong relation between order imbalances and stock price movements, both in analyses of time series and cross-sections. Thus, in addition to the breakdown in the linkage between future prices and the spot index on these two days, there were also breakdowns in the linkage among NYSE stocks. (Reprinted by permission of the publisher.)

Prices and rates, Stocks, Stock prices, Stock Market Crash, 1987

---

Using generalized method of moments to test mean-variance efficiency

Article Abstract:

This paper develops tests of unconditional mean-variance efficiency under weak distributional assumptions using a Generalized Method of Moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size-based portfolios from 1926 to 1988 we show that the conclusion concerning the mean-variance efficiency of market indexes can be sensitive to the test considered. (Reprinted by permission of the publisher.)

Research, Methods, Analysis of variance, Experimental design, Research design

Similar abstracts:

• Abstracts: The corporate sector's mutual friends. Inflation: myth or reality? Spreading the risks of shorter-term saving
• Abstracts: The design school: reconsidering the basic premises of strategic management. Visionary leadership and strategic management
• Abstracts: Marketing implementation: the implications of marketing paradigm weakness for the strategy execution process. The power and politics of sales forecasting: uncertainty absorption and the power of the marketing department

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.