On the consistency of ratings and bond market yields

被引：22

作者：

Perraudin, W ^{[1
]}

Taylor, AP

机构：

[1] Univ London Imperial Coll Sci Technol & Med, Tanaka Business Sch, London SW7 2AZ, England

[2] Bank England, London, England

[3] Univ Manchester, Sch Accounting & Finance, Manchester M13 9PL, Lancs, England

来源：

JOURNAL OF BANKING & FINANCE | 2004年 / 28卷 / 11期

关键词：

credit spreads; risky debt yields; term structure;

D O I：

10.1016/j.jbankfin.2004.06.009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the consistency of the credit-risk orderings implicit in ratings and bond market yields. By analyzing errors in term structure estimates for bonds with particular ratings, we show that for significant periods, a quarter of some categories of high credit quality bonds are rated in a manner that is inconsistent with their pricing. Adjusting for economic determinants of spreads (tax, liquidity and risk premiums) and allowing for the dynamic adjustment of ratings and spreads largely eliminates the inconsistencies, however. (C) 2004 Published by Elsevier B.V.

引用

页码：2769 / 2788

页数：20

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