Credit Rating Agencies, Information Asymmetry and US Bond Liquidity - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year :

Credit Rating Agencies, Information Asymmetry and US Bond Liquidity

(1) , (2) , (3)
1
2
3

Abstract

Do rating announcements reduce information asymmetries? We investigate the effect of rating disclosures on the volatility and liquidity of the US bond market. Although rating agencies' decisions often are anticipated by credit spread changes, we show that in the case of no regulatory change their release can reduce volatility and the bid-ask spread. This reduction is stronger when the rating agency announcement has been anticipated by the market, namely, after downgrades, whereas upgrades trigger mixed reaction. These findings are consistent with the predictions of a simple sequential trade model with event uncertainty, and noise and informed traders.
Not file

Dates and versions

hal-03890565 , version 1 (08-12-2022)

Licence

Copyright

Identifiers

Cite

Stefano Lovo, Philippe Raimbourg, Federica Salvadè. Credit Rating Agencies, Information Asymmetry and US Bond Liquidity. 2022. ⟨hal-03890565⟩

Collections

UNIV-PARIS1 HEC
0 View
0 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More