Stock Performance after Securities Analyst's Rating Downgrades
نویسندگان
چکیده
منابع مشابه
Feedback Effects of Rating Downgrades
This paper addresses whether credit rating downgrades feed back on the asset value of the downgraded companies, causing real losses. To investigate this issue we construct a structural credit risk model incorporating ratings and the feedback loss. To estimate the parameters of the model we develop a maximum likelihood estimator using time series of equity prices and credit ratings. Implementing...
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ژورنال
عنوان ژورنال: Transactions of the Japanese Society for Artificial Intelligence
سال: 2012
ISSN: 1346-0714,1346-8030
DOI: 10.1527/tjsai.27.355