The Long-run Stock Returns Following Bond Ratings Changes

By Ilia D. Dichev, Joe Piotroski. 2001

643 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e561732b26b630283abefecc73dcffa6d97814db

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Citations in the corpus

Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009, background): “…and Vermaelen (1995)), abnormal returns following various types of corporate events such as stock splits and bond ratings changes (Desai and Jain (1997), Dichev and Piotroski (2001)), return momentum (Jegadeesh and Titman (1993)), and post-earnings announcement drift (Bernard and Thomas (1989)).”
Default Risk in Equity Returns (2004, neutral): “Examples of studies that use bond ratings to examine the effect of upgrades and downgrades on equity returns include those of Holthausen and Leftwich (1986), Hand, Holthausen, and Leftwich (1992), and Dichev and Piotroski (2001), among others.”
In Denial? Stock Market Underreaction to Going-concern Audit Report Disclosures (2004, background): “Dichev and Piotroski (2001) demonstrate that markets respond in similar ways to Moody’s bond rating changes, finding no significant abnormal returns following upgrades but negative abnormal returns of between 10% and 14% in the first year following downgrades with a further 3% to 7% in each of the…”
The role of rating agencies in the market for charitable contributions: An empirical test (2009, background): “Dichev & Piotroski (2001) find a negative abnormal”
Credit Ratings and Stock Liquidity (2006, neutral): “2 See, for example, Ederington, Yawitz, and Roberts (1987), Hand, Holthausen, and Leftwich (1992), Goh and Ederington (1993), Hite and Warga (1997), Kliger and Sarig (2000), and Dichev and Piotroski (2001).”
Credit Ratings and the Cross-Section of Stock Returns (2009, background): “Studying downgrades is motivated by previous work, which demonstrates an asymmetric response of future bond (Hand, Holthausen, and Leftwich 1992) and stock (Dichev and Piotroski 2001) returns to credit rating changes.”
Do Rating Agencies Cater? Evidence from Rating-Based Contracts (2015, positive): “They process public information from company filings and incorporate private information from discussions with management to generate estimates of default risk (Hand et al. (1992), Holthausen and Leftwich (1986), Dichev and Piotroski (2001) and Jorion et al. (2005)).”
Disclosure frequency and earnings management (2007, background): “Dichev and Piotroski (2001) also do not make any explicit adjustment for long-run return specification problems when they examine long-run stock returns following bond-rating changes because none of their return windows is We find that post-issue return performance is positively related to the…”
Financial statement comparability and credit risk (2013, positive): “However, the two types of market participants also have qualitatively distinct concerns; for example, rating changes typically affect bond prices less than stock prices because bonds are less liquid than and senior to equity (Hand et al. 1992; Dichev and Piotroski 2001, Barth et al. 2008).”
Beating Earnings Benchmarks and the Cost of Debt (2008, background): “…a firm’s access to bank loans, bonds and commercial paper markets.6 Research suggests that downward rating changes affect both bond and stock prices (Dichev and Piotroski 2001; Hand, Holthausen, and Leftwich 1992; and Holthausen and Leftwich 1986) and can trigger accelerated payment of existing…”
Dispersion in analysts' earnings forecasts and credit rating (2009, background): “In particular, both Hand, Holthausen, and Leftwich (1992) and Dichev and Piotroski (2001) document considerable abnormal price declines following rating downgrades but no price advances following upgrades.”