The incremental information content of bond rating revisions: the Australian evidence

Article Abstract:

The information content of bond rating upgrades and downgrades is examined by controlling for the information content of concurrent annual accounting income figures and assessing the bond rating revision's incremental information content. Using data from the rating agency Standard and Poor's Australian Ratings, the study confirms the findings of Holthausen and Leftwich (1986), Hand et al. (1992) and Cornell et al. (1989) that bond upgrades have more information content than bond upgrades.

Evaluation, Bonds, Bonds (Securities)

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Information, trading and stock returns: lessons from dually-listed securities

Article Abstract:

A comparative analysis of stock trading patterns among sample European, Japanese and American firms shows that stock trading on public information is an important factor for such patterns but is, nonetheless, not the only determinant. As expected, volatility is greatest during the early morning hours but the fact that this phenomenon is exhibited most significantly by Japanese stocks and least significantly by their US counterparts is not consistent with existing theory.

Stocks

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The information content of end-of-the-day index futures returns: international evidence from the Osaka Nikkei 225 futures contract

Article Abstract:

The relationship between end-of-the-day (EOD) Osaka Nikkei index futures returns and overnight spot returns between Sep. 1988 and June 1991 is examined using a generalized autoregressive conditional heteroskedastic time series approach. The result shows that the unexpected component of EOD futures returns is positively related to overnight spot returns as well as to trading period spot returns over the following two trading days.

Stock index futures, Nikkei 225 Index (Index)

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