IDEAS home Printed from https://ideas.repec.org/a/bla/pbudge/v37y2017i2p83-101.html
   My bibliography  Save this article

The Impact of Rating Recalibration on Municipal Bond Yield Spreads

Author

Listed:
  • Kenneth A. Kriz
  • Yan Xiao

Abstract

No abstract is available for this item.

Suggested Citation

  • Kenneth A. Kriz & Yan Xiao, 2017. "The Impact of Rating Recalibration on Municipal Bond Yield Spreads," Public Budgeting & Finance, Wiley Blackwell, vol. 37(2), pages 83-101, June.
    • Handle: RePEc:bla:pbudge:v:37:y:2017:i:2:p:83-101
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/pbaf.12151
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Trzcinka, Charles A, 1982. "The Pricing of Tax-Exempt Bonds and the Miller Hypothesis," Journal of Finance, American Finance Association, vol. 37(4), pages 907-923, September.
    2. Benson, Earl D & Rogowski, Robert J, 1978. "The Cyclical Behavior of Risk Spreads on New Municipal Issues," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 10(3), pages 348-362, August.
    3. Ingram, Robert W & Brooks, Leroy D & Copeland, Ronald M, 1983. "The Information Content of Municipal Bond Rating Changes: A Note," Journal of Finance, American Finance Association, vol. 38(3), pages 997-1003, June.
    4. Yawitz, Jess B., 1978. "Risk Premia on Municipal Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(3), pages 475-485, September.
    5. Thompson, G Rodney & Vaz, Peter, 1990. "Dual Bond Ratings: A Test of the Certification Function of Rating Agencies," The Financial Review, Eastern Finance Association, vol. 25(3), pages 457-471, August.
    6. Jaffee, Dwight M., 1975. "Cyclical variations in the risk structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 1(3), pages 309-325, July.
    7. Chalmers, John M R, 1998. "Default Risk Cannot Explain the Muni Puzzle: Evidence from Municipal Bonds That Are Secured by U.S. Treasury Obligations," The Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 281-308.
    8. Christine R. Martell & Robert S. Kravchuk, 2010. "Bond Insurance and Liquidity Provision: Impacts in the Municipal Variable Rate Debt Market, 2008-09," Public Finance Review, , vol. 38(3), pages 378-401, May.
    9. Spence, Michael, 1974. "Competitive and optimal responses to signals: An analysis of efficiency and distribution," Journal of Economic Theory, Elsevier, vol. 7(3), pages 296-332, March.
    10. Long Chen & David A. Lesmond & Jason Wei, 2007. "Corporate Yield Spreads and Bond Liquidity," Journal of Finance, American Finance Association, vol. 62(1), pages 119-149, February.
    11. Green, Richard C, 1993. "A Simple Model of the Taxable and Tax-Exempt Yield Curves," The Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 233-264.
    12. Liu, Pu & Thakor, Anjan V, 1984. "Interest Yields, Credit Ratings, and Economic Characteristics of State Bonds: An Empirical Analysis: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(3), pages 344-351, August.
    13. Chris Downing & Frank Zhang, 2004. "Trading Activity and Price Volatility in the Municipal Bond Market," Journal of Finance, American Finance Association, vol. 59(2), pages 899-931, April.
    14. George A. Akerlof, 1970. "The Market for "Lemons": Quality Uncertainty and the Market Mechanism," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 84(3), pages 488-500.
    15. Lawrence E. Harris & Michael S. Piwowar, 2006. "Secondary Trading Costs in the Municipal Bond Market," Journal of Finance, American Finance Association, vol. 61(3), pages 1361-1397, June.
    16. Hastie, K. Larry, 1972. "Determinants of Municipal Bond Yields," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(3), pages 1729-1748, June.
    17. Campbell, Tim S, 1980. "On the Extent of Segmentation in the Municipal Securities Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 12(1), pages 71-83, February.
    18. Michael Spence, 1973. "Job Market Signaling," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 87(3), pages 355-374.
    19. Jack Bao & Jun Pan & Jiang Wang, 2011. "The Illiquidity of Corporate Bonds," Journal of Finance, American Finance Association, vol. 66(3), pages 911-946, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jess N. Cornaggia & Kimberly J. Cornaggia & Ryan D. Israelsen, 2020. "Where the Heart Is: Information Production and the Home Bias," Management Science, INFORMS, vol. 66(12), pages 5532-5557, December.
    2. Wang, Junbo & Wu, Chunchi & Zhang, Frank X., 2008. "Liquidity, default, taxes, and yields on municipal bonds," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1133-1149, June.
    3. Albert Lee Chun & Ethan Namvar & Xiaoxia Ye & Fan Yu, 2019. "Modeling Municipal Yields With (and Without) Bond Insurance," Management Science, INFORMS, vol. 65(8), pages 3694-3713, August.
    4. McConnell, John J. & Saretto, Alessio, 2010. "Auction failures and the market for auction rate securities," Journal of Financial Economics, Elsevier, vol. 97(3), pages 451-469, September.
    5. Junbo Wang & Chunchi Wu & Frank X. Zhang, 2005. "Liquidity, default, taxes and yields on municipal bonds," Finance and Economics Discussion Series 2005-35, Board of Governors of the Federal Reserve System (U.S.).
    6. Andrew Ang & Vineer Bhansali & Yuhang Xing, 2010. "Taxes on Tax‐Exempt Bonds," Journal of Finance, American Finance Association, vol. 65(2), pages 565-601, April.
    7. Brooks, Robert, 1999. "Municipal bonds: a contingent claims perspective," Financial Services Review, Elsevier, vol. 8(2), pages 71-85.
    8. Francis A. Longstaff, 2009. "Municipal Debt and Marginal Tax Rates: Is there a Tax Premium in Asset Prices?," NBER Working Papers 14687, National Bureau of Economic Research, Inc.
    9. Yuji Tamura, 2013. "Migrant smuggling when exploitation is private information," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 46(4), pages 1463-1479, November.
    10. Landoni, Mattia, 2018. "Tax distortions and bond issue pricing," Journal of Financial Economics, Elsevier, vol. 129(2), pages 382-393.
    11. Hattori, Takahiro & Miyake, Hiroki, 2015. "Empirical Analysis of Yield Determinants in Japan’s Municipal Bond Market: Does Credit Risk Premium Exist?," MPRA Paper 67127, University Library of Munich, Germany.
    12. Stephanie Heck, 2022. "Corporate bond yields and returns: a survey," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 179-201, June.
    13. Tevfik Aktekin & Dev K. Dutta & Jeffrey E. Sohl, 2018. "Entrepreneurial firms and financial attractiveness for securing debt capital: a Bayesian analysis," Venture Capital, Taylor & Francis Journals, vol. 20(1), pages 27-50, January.
    14. Reichenbacher, Michael & Schuster, Philipp, 2022. "Size-adapted bond liquidity measures and their asset pricing implications," Journal of Financial Economics, Elsevier, vol. 146(2), pages 425-443.
    15. Arthur Allen & George Sanders & Donna Dudney, 2009. "Should more local governments purchase a bond rating?," Review of Quantitative Finance and Accounting, Springer, vol. 32(4), pages 421-438, May.
    16. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity -- Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
    17. Chien-Wei Chen & Min-Hsien Chiang & Chi-Lin Yang, 2014. "New product preannouncements, advertising investments, and stock returns," Marketing Letters, Springer, vol. 25(2), pages 207-218, June.
    18. Field, Laura Casares & Mkrtchyan, Anahit & Wang, Yuan, 2022. "Bond liquidity and investment," Journal of Banking & Finance, Elsevier, vol. 145(C).
    19. Cardella, Laura & Fairhurst, Douglas & Klasa, Sandy, 2021. "What determines the composition of a firm's cash reserves?," Journal of Corporate Finance, Elsevier, vol. 68(C).
    20. Díaz, Antonio & Escribano, Ana, 2022. "Liquidity dimensions in the U.S. corporate bond market," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 1163-1179.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:pbudge:v:37:y:2017:i:2:p:83-101. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0275-1100 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.