Event Study Concerning International Bond Price Effects of Credit Rating Actions

By M. Steiner, V. Heinke. 2001

198 citations recorded by the source corpus.

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Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements (2004, background): “Moreover, two different types of rating announcement events are taken into 1 See Tavakoli (2001) and Bank for International Settlements (2003) for an overview of credit derivatives.”
Regulatory Pressure and Fire Sales in the Corporate Bond Market (2011, unknown): “The existing literature has already found evidence that prices anticipate bond downgrades (Hite and Warga (1997) and Steiner and Heinke (2001), among others) and credit default swaps downgrades (Hull, Predescu and White (2004) and Norden and Weber (2004)).”
The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004, unknown): “recent study by Steiner and Heinke (2001) uses Eurobond data and detects that negative”
Fiscal Policy Events and Interest Rate Swap Spreads: Evidence from the EU (2007, background): “29 Steiner and Heinke (2001) compute excess returns with rolling forward and backward windows, although the analytical impementation is different from ours.”