1 resultado para Price-value
em Brock University, Canada
Filtro por publicador
- JISC Information Environment Repository (5)
- Repository Napier (1)
- Aberystwyth University Repository - Reino Unido (1)
- Academic Archive On-line (Karlstad University; Sweden) (1)
- Academic Research Repository at Institute of Developing Economies (1)
- AMS Tesi di Dottorato - Alm@DL - Università di Bologna (1)
- Aquatic Commons (55)
- Archive of European Integration (2)
- Archivo Digital para la Docencia y la Investigación - Repositorio Institucional de la Universidad del País Vasco (34)
- Aston University Research Archive (8)
- Biblioteca Digital | Sistema Integrado de Documentación | UNCuyo - UNCUYO. UNIVERSIDAD NACIONAL DE CUYO. (1)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (2)
- Biblioteca Digital da Produção Intelectual da Universidade de São Paulo (BDPI/USP) (1)
- Biblioteca Digital de la Universidad Católica Argentina (2)
- Biblioteca Digital de Teses e Dissertações Eletrônicas da UERJ (3)
- BORIS: Bern Open Repository and Information System - Berna - Suiça (3)
- Boston University Digital Common (5)
- Brock University, Canada (1)
- Bulgarian Digital Mathematics Library at IMI-BAS (1)
- CaltechTHESIS (8)
- Cambridge University Engineering Department Publications Database (92)
- CentAUR: Central Archive University of Reading - UK (10)
- Chinese Academy of Sciences Institutional Repositories Grid Portal (26)
- Comissão Econômica para a América Latina e o Caribe (CEPAL) (1)
- CORA - Cork Open Research Archive - University College Cork - Ireland (5)
- Cornell: DigitalCommons@ILR (1)
- Corvinus Research Archive - The institutional repository for the Corvinus University of Budapest (5)
- Deakin Research Online - Australia (14)
- DI-fusion - The institutional repository of Université Libre de Bruxelles (1)
- Digital Commons at Florida International University (4)
- Digital Repository at Iowa State University (3)
- DigitalCommons@University of Nebraska - Lincoln (1)
- Doria (National Library of Finland DSpace Services) - National Library of Finland, Finland (1)
- DRUM (Digital Repository at the University of Maryland) (1)
- Duke University (12)
- eResearch Archive - Queensland Department of Agriculture; Fisheries and Forestry (34)
- Glasgow Theses Service (2)
- Greenwich Academic Literature Archive - UK (10)
- Helda - Digital Repository of University of Helsinki (67)
- Indian Institute of Science - Bangalore - Índia (48)
- Instituto Politécnico de Viseu (1)
- Open University Netherlands (1)
- Plymouth Marine Science Electronic Archive (PlyMSEA) (8)
- QUB Research Portal - Research Directory and Institutional Repository for Queen's University Belfast (135)
- Queensland University of Technology - ePrints Archive (334)
- Repositório digital da Fundação Getúlio Vargas - FGV (8)
- Repositório Institucional da Universidade de Aveiro - Portugal (1)
- Repositório Institucional da Universidade Federal de São Paulo - UNIFESP (1)
- RUN (Repositório da Universidade Nova de Lisboa) - FCT (Faculdade de Cienecias e Technologia), Universidade Nova de Lisboa (UNL), Portugal (1)
- The Scholarly Commons | School of Hotel Administration; Cornell University Research (1)
- Universidad de Alicante (1)
- Universidad Politécnica de Madrid (3)
- Universidade Técnica de Lisboa (1)
- Université de Montréal (1)
- Université de Montréal, Canada (3)
- University of Michigan (6)
- University of Queensland eSpace - Australia (3)
- University of Washington (2)
Resumo:
This thesis examines the quality of credit ratings issued by the three major credit rating agencies - Moody’s, Standard and Poor’s and Fitch. If credit ratings are informative, then prices of underlying credit instruments such as fixed-income securities and credit default insurance should change to reflect the new credit risk information. Using data on 246 different major fixed income securities issuers and spanning January 2000 to December 2011, we find that credit default swaps (CDS) spreads do not react to changes in credit ratings. Hence credit ratings for all three agencies are not price informative. CDS prices are mostly determined by historical CDS prices while ratings are mostly determined by historical ratings. We find that credit ratings are marginally more sensitive to CDS than CDS are sensitive to ratings.