Does sell-side debt research have investment value?

IF 2 4区管理学 Q2 BUSINESS, FINANCE

Accounting and Business Research Pub Date : 2021-10-20 DOI:10.1080/00014788.2021.2012418

Sunhwa Choi, Robert Kim

引用次数: 0

Abstract

This study examines whether sell-side debt research has investment value for debt investors. We find that both the levels of and changes in recommendations are associated with event-time abnormal bond returns, and that changes in recommendations (i.e. upgrades and downgrades) are associated with stronger price reactions. More importantly, we find that changes in recommendations are associated with a significant post-event bond price drift, suggesting delayed market reactions to recommendation changes. The calendar-time portfolio approach of buying (selling) bonds following upgrades (downgrades) generates significant abnormal bond returns. In addition, we present new evidence that debt analysts often provide different recommendations for bonds issued by a firm to reflect different bond-specific characteristics. Overall, our results suggest that debt analysts’ recommendations have investment value.

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卖方债务研究有投资价值吗?

本研究考察了卖方债务研究对债务投资者是否具有投资价值。我们发现，建议的水平和变化都与事件时间异常债券回报有关，建议的变化（即升级和降级）与更强的价格反应有关。更重要的是，我们发现建议的变化与事件后债券价格的显著漂移有关，这表明市场对建议变化的反应延迟。在升级（降级）后购买（出售）债券的日历时间投资组合方法会产生显著的异常债券回报。此外，我们提出了新的证据，证明债务分析师经常为一家公司发行的债券提供不同的建议，以反映不同的债券特定特征。总体而言，我们的研究结果表明，债务分析师的建议具有投资价值。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounting and Business Research BUSINESS, FINANCE-

CiteScore

3.40

自引率

11.80%

发文量

期刊介绍： Accounting and Business Research publishes papers containing a substantial and original contribution to knowledge. Papers may cover any area of accounting, broadly defined and including corporate governance, auditing and taxation. However the focus must be accounting, rather than (corporate) finance or general management. Authors may take a theoretical or an empirical approach, using either quantitative or qualitative methods. They may aim to contribute to developing and understanding the role of accounting in business. Papers should be rigorous but also written in a way that makes them intelligible to a wide range of academics and, where appropriate, practitioners.