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題名 Market-based Evaluation for Models to Predict Bond Ratings
作者 湛可南
Chan, Konan;Jegadeesh, Narasimhan
貢獻者 財管系
關鍵詞 Bond rating prediction; relative rating strength portfolio; bond trading strategy; bond market efficiency
日期 2004
上傳時間 8-Jan-2015 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
資料類型 article
dc.contributor 財管系
dc.creator (作者) 湛可南zh_TW
dc.creator (作者) Chan, Konan;Jegadeesh, Narasimhan
dc.date (日期) 2004
dc.date.accessioned 8-Jan-2015 17:50:02 (UTC+8)-
dc.date.available 8-Jan-2015 17:50:02 (UTC+8)-
dc.date.issued (上傳時間) 8-Jan-2015 17:50:02 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/72692-
dc.description.abstract (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.
dc.format.extent 190585 bytes-
dc.format.mimetype application/pdf-
dc.relation (關聯) Review of Pacific Basin Financial Markets and Policies, 7(2), 153-172
dc.subject (關鍵詞) Bond rating prediction; relative rating strength portfolio; bond trading strategy; bond market efficiency
dc.title (題名) Market-based Evaluation for Models to Predict Bond Ratings
dc.type (資料類型) articleen