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The credit signals that matter most for sovereign bond spreads with split rating

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The credit signals that matter most for sovereign bond spreads with split rating. / Vu, Huong; Alsakka, R.; ap Gwilym, O.M.
In: Journal of International Money and Finance, Vol. 53, 05.2015, p. 174-191.

Research output: Contribution to journal › Article › peer-review

HarvardHarvard

Vu, H, Alsakka, R & ap Gwilym, OM 2015, 'The credit signals that matter most for sovereign bond spreads with split rating', Journal of International Money and Finance, vol. 53, pp. 174-191. https://doi.org/10.1016/j.jimonfin.2015.01.005

APA

Vu, H., Alsakka, R., & ap Gwilym, O. M. (2015). The credit signals that matter most for sovereign bond spreads with split rating. Journal of International Money and Finance, 53, 174-191. https://doi.org/10.1016/j.jimonfin.2015.01.005

CBE

Vu H, Alsakka R, ap Gwilym OM. 2015. The credit signals that matter most for sovereign bond spreads with split rating. Journal of International Money and Finance. 53:174-191. https://doi.org/10.1016/j.jimonfin.2015.01.005

MLA

Vu, Huong, R. Alsakka, and O.M. ap Gwilym. "The credit signals that matter most for sovereign bond spreads with split rating". Journal of International Money and Finance. 2015, 53. 174-191. https://doi.org/10.1016/j.jimonfin.2015.01.005

VancouverVancouver

Vu H, Alsakka R, ap Gwilym OM. The credit signals that matter most for sovereign bond spreads with split rating. Journal of International Money and Finance. 2015 May;53:174-191. Epub 2015 Feb 4. doi: 10.1016/j.jimonfin.2015.01.005

Author

Vu, Huong ; Alsakka, R. ; ap Gwilym, O.M. / The credit signals that matter most for sovereign bond spreads with split rating. In: Journal of International Money and Finance. 2015 ; Vol. 53. pp. 174-191.

RIS

TY - JOUR

T1 - The credit signals that matter most for sovereign bond spreads with split rating

AU - Vu, Huong

AU - Alsakka, R.

AU - ap Gwilym, O.M.

PY - 2015/5

Y1 - 2015/5

N2 - We investigate how split ratings influence the information content of credit rating events on the sovereign bond markets during 2000–2012. We find that market reactions are far stronger for negative events on the inferior ratings and for positive events on the superior ratings. Such evidence suggests aversion of market participants to the ambiguity inherent in split ratings. Sovereign credit spreads are particularly responsive to negative events by SandP (the more conservative agency in the sample). Moody's positive events have a significant impact only when Moody's assigns superior pre-event ratings compared with SandP. There is little evidence that split ratings involving Fitch have any market implication.

AB - We investigate how split ratings influence the information content of credit rating events on the sovereign bond markets during 2000–2012. We find that market reactions are far stronger for negative events on the inferior ratings and for positive events on the superior ratings. Such evidence suggests aversion of market participants to the ambiguity inherent in split ratings. Sovereign credit spreads are particularly responsive to negative events by SandP (the more conservative agency in the sample). Moody's positive events have a significant impact only when Moody's assigns superior pre-event ratings compared with SandP. There is little evidence that split ratings involving Fitch have any market implication.

U2 - 10.1016/j.jimonfin.2015.01.005

DO - 10.1016/j.jimonfin.2015.01.005

M3 - Article

VL - 53

SP - 174

EP - 191

JO - Journal of International Money and Finance

JF - Journal of International Money and Finance

SN - 0261-5606

ER -