دانلود مقاله ISI انگلیسی شماره 48458
ترجمه فارسی عنوان مقاله

پازل بازگشت ریسک اعتباری: تاثیر اطلاعیه های رتبه بندی اعتبار در استرالیا و ژاپن

عنوان انگلیسی
The credit risk–return puzzle: Impact of credit rating announcements in Australia and Japan
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
48458 2015 19 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Pacific-Basin Finance Journal, Volume 35, Part A, November 2015, Pages 37–55

ترجمه کلمات کلیدی
پازل بازگشت ریسک اعتباری - رتبه بندی اعتباری - تنزل رتبه - چرخه های اقتصادی
کلمات کلیدی انگلیسی
Credit risk–return puzzle; Credit ratings; Downgrades; Economic cyclesG12; G15
پیش نمایش مقاله
پیش نمایش مقاله  پازل بازگشت ریسک اعتباری: تاثیر اطلاعیه های رتبه بندی اعتبار در استرالیا و ژاپن

چکیده انگلیسی

Traditional asset pricing models postulate that high risk investments are usually associated with higher returns. However, this does not hold in the relationship between credit risk and return. There is a known credit risk–return puzzle, which highlights a negative relationship between credit risk and the stock market returns. The objective of this study is to assess the puzzling credit risk–return relationship of stocks; in particular, comparing the stock returns of high versus low credit risk firms, as measured by credit ratings from Standard and Poor's in Australia and Japan for a period from January 1990 to June 2012. Our results indicate that the credit risk–return puzzle exists in both Japan and Australia. However, it seems that the credit risk–return anomaly is explained by the downgrade announcements in the market and hence we conclude that downgrade announcements of a firm have a significant impact on the cross section of returns.