The Information Content of Standard & Poor's Common Stock Ranking Changes

J. Felton, Pu Liu, Douglas Hearth
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引用次数: 2

Abstract

This study examines the information content of Standard & Poor's common stock ranking changes. Since prior studies find Standard & Poor's common stock rankings provide investors with a measure of risk, a ranking change may signify a change in risk. Common stock ranking changes made by Standard & Poor's may provide investors with a low-cost means of predicting the direction of future market risk. Internal memoranda containing ranking changes from June 1985 through May 1987 were obtained directly from Standard & Poor's. Using a sample of 191 upgrades and 582 downgrades, results indicate that mean portfolio betas change following Standard & Poor's memorandum dates for ranking changes.
标准普尔普通股排名信息含量的变化
本研究考察标准普尔普通股排名变动的信息含量。由于先前的研究发现标准普尔的普通股排名为投资者提供了一种风险衡量标准,因此排名的变化可能意味着风险的变化。标准普尔对普通股的评级变动可能为投资者提供一种预测未来市场风险方向的低成本手段。从1985年6月到1987年5月,公司直接从标准普尔获得了包含评级变动的内部备忘录。使用191个评级上调和582个评级下调的样本,结果表明,平均投资组合贝塔值随着标准普尔评级变动的备忘录日期而变化。
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