In this paper, we propose a hazard rate model for studying credit rating and credit rating changes. Theoretically the hazard rate model is more appropriate than the previous static models. Yet it is difficult to estimate hazard rate model, especially when the covariates are time-varying. This paper extends the results of Shumway(2001) and shows that a multiple-state hazard rate model can be est...

What happens when investment grade bonds are downgraded to junk status? The received wisdom is that these fallen angels are sold by fixed income investors who, by regulation, are prohibited from investing substantial portions of their portfolios in speculative grade paper. We investigate insurance company sales of bonds that were downgraded to junk in order to document the extent of forced sell...

In this article I examine one practice speakers have for confirming when confirmation was not otherwise relevant. The practice involves a speaker repeating an assertion previously made by another speaker in modified form with stress on the copula/auxiliary. I argue that these modified repeats work to undermine the first speaker’s default ownership and rights over the claim and instead assert th...

This paper investigates the finite-sample behaviour of sovereign credit migration estimators and analyzes the properties of the rating process. Through bootstrap simulations, we compare a discrete multinomial estimator and two continuous hazard rate methods which differ in that one neglects time heterogeneity in the rating process whereas the other accounts for it. The study is based on Moody’s...

The objective of this paper is to provide a comparative assessment of the consequences of worker displacement in France and the United-States. I estimate wage losses of displaced workers in the two countries and examine the relative contribution of two important sources of post-displacement wage adjustments. The first one relates to the loss of seniority-accumulated firmspecific earnings potent...

How do rating changes affect investor behavior and price informativeness? In a model with endogenous information acquisition and investors with limited attention, we show that the returns to information and the informativeness of the price system increase after a downgrade, but should not experience a significant change after an upgrade. Using a sample of U.S. publicly traded firms that experie...

In-car intoxication detection from speech is a highly promising non-intrusive method to reduce the accident risk associated with drunk driving. However, in-car noise significantly influences the recognition performance and needs to be addressed in practical applications. In this paper, we investigate how seriously the intrinsic in-car noise and background music affect the accuracy of intoxicati...