IDEAS home Printed from https://ideas.repec.org/a/eee/jbfina/v31y2007i12p3843-3861.html
   My bibliography  Save this article

Bankruptcy probability changes and the differential informativeness of bond upgrades and downgrades

Author

Listed:
  • Kim, Yongtae
  • Nabar, Sandeep

Abstract

No abstract is available for this item.

Suggested Citation

  • Kim, Yongtae & Nabar, Sandeep, 2007. "Bankruptcy probability changes and the differential informativeness of bond upgrades and downgrades," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3843-3861, December.
  • Handle: RePEc:eee:jbfina:v:31:y:2007:i:12:p:3843-3861
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(07)00105-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    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. Doron Kliger & Oded Sarig, 2000. "The Information Value of Bond Ratings," Journal of Finance, American Finance Association, vol. 55(6), pages 2879-2902, December.
    2. Skinner, Dj, 1994. "Why Firms Voluntarily Disclose Bad-News," Journal of Accounting Research, Wiley Blackwell, vol. 32(1), pages 38-60.
    3. Bamber, LS & Cheon, YS, 1998. "Discretionary management earnings forecast disclosures: Antecedents and outcomes associated with forecast venue and forecast specificity choices," Journal of Accounting Research, Wiley Blackwell, vol. 36(2), pages 167-190.
    4. Hand, John R M & Holthausen, Robert W & Leftwich, Richard W, 1992. "The Effect of Bond Rating Agency Announcements on Bond and Stock Prices," Journal of Finance, American Finance Association, vol. 47(2), pages 733-752, June.
    5. Holthausen, Robert W. & Leftwich, Richard W., 1986. "The effect of bond rating changes on common stock prices," Journal of Financial Economics, Elsevier, vol. 17(1), pages 57-89, September.
    6. Goh, Jeremy C & Ederington, Louis H, 1993. "Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders?," Journal of Finance, American Finance Association, vol. 48(5), pages 2001-2008, December.
    7. Edward I. Altman, 1968. "Financial Ratios, Discriminant Analysis And The Prediction Of Corporate Bankruptcy," Journal of Finance, American Finance Association, vol. 23(4), pages 589-609, September.
    8. Edward I. Altman, 1968. "The Prediction Of Corporate Bankruptcy: A Discriminant Analysis," Journal of Finance, American Finance Association, vol. 23(1), pages 193-194, March.
    9. Ohlson, Ja, 1980. "Financial Ratios And The Probabilistic Prediction Of Bankruptcy," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 109-131.
    10. Francis, J & Philbrick, D & Schipper, K, 1994. "Shareholder Litigation And Corporate Disclosures," Journal of Accounting Research, Wiley Blackwell, vol. 32(2), pages 137-164.
    11. Holthausen, Robert W. & Watts, Ross L., 2001. "The relevance of the value-relevance literature for financial accounting standard setting," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 3-75, September.
    12. Ederington, Louis H. & Goh, Jeremy C., 1998. "Bond Rating Agencies and Stock Analysts: Who Knows What When?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(4), pages 569-585, December.
    13. Shumway, Tyler, 2001. "Forecasting Bankruptcy More Accurately: A Simple Hazard Model," The Journal of Business, University of Chicago Press, vol. 74(1), pages 101-124, January.
    14. Zaima, Janis K & McCarthy, Joseph E, 1988. "The Impact of Bond Rating Changes on Common Stocks and Bonds: Tests of the Wealth Redistribution Hypothesis," The Financial Review, Eastern Finance Association, vol. 23(4), pages 483-498, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kamphol Panyagometh & Gordon S. Roberts, 2010. "Do Lead Banks Exploit Syndicate Participants? Evidence from Ex Post Risk," Financial Management, Financial Management Association International, vol. 39(1), pages 273-299, March.
    2. Norden, Lars, 2017. "Information in CDS spreads," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 118-135.
    3. Hill, Paula & Bissoondoyal-Bheenick, Emawtee & Faff, Robert, 2018. "New evidence on sovereign to corporate credit rating spill-overs," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 209-225.
    4. Florian Kiesel & Sascha Kolaric, 2018. "Measuring the effect of watch-preceded and direct rating changes: a note on credit markets," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 653-672, February.
    5. María Concepción Verona Martel & José Juan Déniz Mayor, 2011. "Las agencias de rating y la crisis fi nanciera de 2008: ¿El fi n de un poder sin control?," Revista Criterio Libre, Universidad Libre - Sede Principal, June.
    6. Yuriy Zabolotnyuk, 2018. "Wealth Effects of Bond Rating Announcements," Multinational Finance Journal, Multinational Finance Journal, vol. 22(3-4), pages 211-254, September.
    7. Kiesel, F. & Kolaric, S., 2018. "Measuring the effect of watch-preceded and direct rating changes: a note on credit markets," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 87386, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    8. Brogaard, Jonathan & Koski, Jennifer L. & Siegel, Andrew F., 2019. "Do upgrades matter? Evidence from trading volume," Journal of Financial Markets, Elsevier, vol. 43(C), pages 54-77.
    9. Adams, John C. & Mansi, Sattar A., 2009. "CEO turnover and bondholder wealth," Journal of Banking & Finance, Elsevier, vol. 33(3), pages 522-533, March.
    10. Jun Zhang, 2019. "Is options trading informed? Evidence from credit rating change announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(9), pages 1085-1106, September.
    11. Kaveri Krishnan & Sankarshan Basu & Ashok Thampy, 2020. "Has the Global Financial Crisis Changed the Market Response to Credit Ratings? Evidence from an Emerging Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(1), pages 7-32, April.
    12. May, Anthony D., 2010. "The impact of bond rating changes on corporate bond prices: New evidence from the over-the-counter market," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2822-2836, November.
    13. Paula Hill & Robert Faff, 2010. "The Market Impact of Relative Agency Activity in the Sovereign Ratings Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(9‐10), pages 1309-1347, November.
    14. Federica Salvadè, 2018. "Is less information better information? Evidence from the credit rating withdrawal," Review of Quantitative Finance and Accounting, Springer, vol. 51(1), pages 139-157, July.
    15. Hu, Haoshen & Kaspereit, Thomas & Prokop, Jörg, 2016. "The information content of issuer rating changes: Evidence for the G7 stock markets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 99-108.
    16. Salwa Kessioui & Michalis Doumpos & Constantin Zopounidis, 2023. "A Bibliometric Overview of the State-of-the-Art in Bankruptcy Prediction Methods and Applications," World Scientific Book Chapters, in: Emilios Galariotis & Alexandros Garefalakis & Christos Lemonakis & Marios Menexiadis & Constantin Zo (ed.), Governance and Financial Performance Current Trends and Perspectives, chapter 6, pages 123-153, World Scientific Publishing Co. Pte. Ltd..
    17. Crabtree, Aaron & Maher, John J. & Wan, Huishan, 2014. "New debt issues and earnings management," Advances in accounting, Elsevier, vol. 30(1), pages 116-127.

    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. Cao, June & Ee, Mong Shan & Hasan, Iftekhar & Huang, He, 2024. "Asymmetric reactions of abnormal audit fees jump to credit rating changes," The British Accounting Review, Elsevier, vol. 56(2).
    2. Kwon, Yonghyun & Han, Seung Hun & Lee, Bong-Soo, 2016. "Financial constraints and negative spillovers in business groups: Evidence from Korea," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 84-100.
    3. Koresh Galil, 2005. "Ratings as Predictors of Default in the Long Term:an Empirical Investigation," Working Papers 0505, Ben-Gurion University of the Negev, Department of Economics.
    4. Derrien, François & Kecskés, Ambrus & Mansi, Sattar A., 2016. "Information asymmetry, the cost of debt, and credit events: Evidence from quasi-random analyst disappearances," Journal of Corporate Finance, Elsevier, vol. 39(C), pages 295-311.
    5. Brogaard, Jonathan & Koski, Jennifer L. & Siegel, Andrew F., 2019. "Do upgrades matter? Evidence from trading volume," Journal of Financial Markets, Elsevier, vol. 43(C), pages 54-77.
    6. He, Yan & Wang, Junbo & Wei, K.C. John, 2011. "Do bond rating changes affect the information asymmetry of stock trading?," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 103-116, January.
    7. Demirtas, K. Ozgur & Rodgers Cornaggia, Kimberly, 2013. "Initial credit ratings and earnings management," Review of Financial Economics, Elsevier, vol. 22(4), pages 135-145.
    8. repec:uts:finphd:36 is not listed on IDEAS
    9. Creighton, Adam & Gower, Luke & Richards, Anthony J., 2007. "The impact of rating changes in Australian financial markets," Pacific-Basin Finance Journal, Elsevier, vol. 15(1), pages 1-17, January.
    10. Healy, Paul M. & Palepu, Krishna G., 2001. "Information asymmetry, corporate disclosure, and the capital markets: A review of the empirical disclosure literature," Journal of Accounting and Economics, Elsevier, vol. 31(1-3), pages 405-440, September.
    11. Stewart Jones, 2017. "Corporate bankruptcy prediction: a high dimensional analysis," Review of Accounting Studies, Springer, vol. 22(3), pages 1366-1422, September.
    12. Chamroeun Sok, 2012. "Corporate Credit Rating Announcements: Information Content of Rating Announcements Models: Evidence from the Australian Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2012, January-A.
    13. Bremer, Marc & Pettway, Richard H., 2002. "Information and the market's perceptions of Japanese bank risk: Regulation, environment, and disclosure," Pacific-Basin Finance Journal, Elsevier, vol. 10(2), pages 119-139, April.
    14. Afik, Zvika & Zabolotnyuk, Yuriy, 2023. "Information effect of credit rating announcements in transition economies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
    15. Chan, Pak To & Edwards, Vic & Walter, Terry, 2009. "The information content of Australian credit ratings: A comparison between subscription and non-subscription-based credit rating agencies," Economic Systems, Elsevier, vol. 33(1), pages 22-44, March.
    16. Chen, Zhihua & Wang, Zhen, 2021. "Do firms obtain multiple ratings to hedge against downgrade risk?," Journal of Banking & Finance, Elsevier, vol. 123(C).
    17. Kenjegaliev, Amangeldi & Duygun, Meryem & Mamedshakhova, Djamila, 2016. "Do rating grades convey important information: German evidence?," Economic Modelling, Elsevier, vol. 53(C), pages 334-344.
    18. Tang, Tony T., 2009. "Information asymmetry and firms' credit market access: Evidence from Moody's credit rating format refinement," Journal of Financial Economics, Elsevier, vol. 93(2), pages 325-351, August.
    19. Chia-Ling Chao & Shwu-Min Horng, 2013. "Asset write-offs discretion and accruals management in Taiwan: the role of corporate governance," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 41-74, January.
    20. 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.
    21. Elsayed, Mohamed & Elshandidy, Tamer, 2020. "Do narrative-related disclosures predict corporate failure? Evidence from UK non-financial publicly quoted firms," International Review of Financial Analysis, Elsevier, vol. 71(C).

    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:eee:jbfina:v:31:y:2007:i:12:p:3843-3861. 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/jbf .

    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.