政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/72692

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政大機構典藏 > 商學院 > 財務管理學系 > 期刊論文 > Item 140.119/72692

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题名:	Market-based Evaluation for Models to Predict Bond Ratings
作者:	湛可南 Chan, Konan;Jegadeesh, Narasimhan
贡献者:	財管系
关键词:	Bond rating prediction;relative rating strength portfolio;bond trading strategy;bond market efficiency
日期:	2004
上传时间:	2015-01-08 17:50:02 (UTC+8)
摘要:	Previous studies have examined different statistical models to predict corporate bond ratings. However, these papers use agency ratings as the benchmark to assess models and ignore the evidence that agency ratings may not be accurate in a timely manner. In this paper, we propose a new approach which incorporates ex-post bond returns to evaluate rating prediction models. Relative rating strength portfolios, formed by buying under-rated bonds with agency ratings lower than model ratings and selling over-rated bonds with agency ratings higher than model ratings, are employed to test the performance of different statistical models in rating predictions. Our results show that one version of multiple discriminant analysis model can generate a statistically significant abnormal return of 5% over a 5-year horizon. The ordered probit model which is believed to possess theoretical advantages in classifying bonds does not perform better. This suggests that using traditional measures to evaluate models can be misleading. The existence of a profitable trading strategy also raises the concern of market efficiency in the corporate bond market.
關聯:	Review of Pacific Basin Financial Markets and Policies, 7(2), 153-172
数据类型:	article
显示于类别:	[財務管理學系] 期刊論文

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