Credit Ratings and the Cross-Section of Stock Returns

By Doron Avramov, Tarun Chordia, Gergana Jostova, Alexander Philipov. 2009

206 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2966791b09757902d6a4cd35c5da14849e399225

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Doron Avramov
2. Tarun Chordia
3. Seshadri Tirunillai
4. Gerard J. Tellis
5. Jens Hilscher
6. J. Szilágyi
7. Iulian Obreja
8. Alexander Philipov

In Finance

1. Doron Avramov
2. Tarun Chordia
3. Alexander Philipov
4. Gergana Jostova
5. Seshadri Tirunillai
6. Gerard J. Tellis
7. Jens Hilscher
8. John Y. Campbell

Citations in the corpus

• Predicting Financial Distress and the Performance of Distressed Stocks (2011, background): “Avramov et al. (2007) and Avramov et al. (2009) consider equity returns using credit ratings.”
• Anomalies and Financial Distress (2013, unknown): “Avramov et al. / Journal of Financial Economics 108 (2013) 139–159 140”
• Does Chatter Really Matter? Dynamics of User-Generated Content and Stock Performance (2012, methodology): “To run a pooled model, we have to first ensure that the different firms could be pooled (the overview of the test for pooling is Online Appendix C3, and the complete details are in Baltagi 2008, pp. 57–63).”
• The Cross-Section of Credit Risk Premia and Equity Returns (2013, background): “Related, Avramov et al. (2009) argue that the distress puzzle is most pronounced for worst-rated stocks around rating downgrades.”
• Dispersion in analysts' earnings forecasts and credit rating (2009, result): “This puzzling finding has recently been confirmed by Griffin and Lemmon (2002), Campbell, Hilscher, and Szilagyi (2008), and Avramov, Chordia, Jostova, and Philipov (2006) .”
• When ESG meets AAA: The effect of ESG rating changes on stock returns (2021, unknown): “It is puzzling that, unlike the literature on conventional credit ratings (Holthausen and Leftwich, 1986; Choy et al., 2006; Avramov et al., 2009) that consistently finds robust effects of rating changes, the existing research on ESG ratings is primarily concerned with their levels, constituting a…”
• Decomposing European CDS Returns (2010, result): “This is in line with the findings for the U.S. market in Dichev (1998), Griffin and Lemmon (2002), Vassalou and Xing (2004), Garlappi et al. (2006), Campbell et al. (2008), and, most recently, Avramov et al. (2009).”