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The Impact of Rating Recalibration on Municipal Bond Yield Spreads

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  • Kenneth A. Kriz
  • Yan Xiao

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  • 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
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    File URL: http://hdl.handle.net/10.1111/pbaf.12151
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    References listed on IDEAS

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    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. repec:bla:jfinan:v:59:y:2004:i:2:p:899-931 is not listed on IDEAS
    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.
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    Cited by:

    1. Baridhi Malakar, 2024. "Fiduciary Duty in the Municipal Bonds Market," Papers 2406.15197, arXiv.org.

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