Information flow and credit rating announcements

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-09-01 DOI:10.1016/j.finmar.2023.100837

Mehdi Khorram , Haitao Mo , Gary C. Sanger

引用次数: 0

Abstract

We employ the implied volatility spread (IVS) and the short lending fee as measures of private information conveyed by their respective markets. Using issuer credit rating announcements as an informational event, we find that both IVS and the short fee have significantly higher predictive power for returns on event days versus non-event days. Both also predict the direction and magnitude of credit rating changes. Consistent with the linkage between the short sale and options markets, in models with both explanatory variables, the short fee remains significant in all specifications, while IVS loses explanatory power.

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信息流和信用评级公告

我们采用隐含波动率价差（IVS）和短期贷款费用作为衡量各自市场传递的私人信息的指标。使用发行人信用评级公告作为一个信息事件，我们发现IVS和短期费用对活动日回报的预测能力明显高于非活动日。两者都预测了信用评级变化的方向和幅度。与卖空和期权市场之间的联系一致，在具有两个解释变量的模型中，卖空费用在所有规范中都很重要，而IVS失去了解释力。

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

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.