评级标签和风格投资:来自穆迪评级重新校准的证据

IF 2.9 3区经济学 Q2 BUSINESS, FINANCE

Financial Management Pub Date : 2021-02-26 DOI:10.1111/fima.12348

Xinyuan Tao, Chunchi Wu

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引用次数: 1

摘要

本文探讨了风格投资在市场变动和收益可预测性中的作用。利用穆迪的评级重新校准事件来分离风格效应，我们发现评级标签的变化对市政债券收益、交易活动和波动性的变动具有强大的影响。基于波动率的波动增加了收益波动。评级式投资诱导收益可预测性，影响收益形成，并与投资者情绪相互作用。评级标签的变化通过相关的交易活动驱动这些结果，而行为偏差和交易摩擦又强化了这种影响。

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Rating labels and style investing: Evidence from Moody's rating recalibration

This paper investigates the role of style investing in comovement and return predictability. Using Moody's rating recalibration event to isolate the style effect, we find that changes in rating labels have powerful effects on comovement of municipal bond returns, trading activity, and volatility. Volatility-based comovement adds to the return comovement. Rating style investing induces return predictability and affects return formation, which interacts with investor sentiment. Shifts in the rating label drive these results through correlated trading activities, and the effects are reinforced by behavioral biases and trading frictions.

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来源期刊

Financial Management BUSINESS, FINANCE-

CiteScore

6.00

自引率

0.00%

发文量

期刊介绍： Financial Management (FM) serves both academics and practitioners concerned with the financial management of nonfinancial businesses, financial institutions, and public or private not-for-profit organizations.