Chen, Zhihua; Lookman, Aziz; Schürhoff, Norman; Seppi, … - C.E.P.R. Discussion Papers - 2012
identify rating-based market segmentation in the corporate bond market. Split-rated bonds with favorable Fitch rating that were … rating did not initially change suggests that mechanical changes in future index rating transition probabilities also affect … bond pricing. Our results highlight the importance of rating-based industry norms and practices for market segmentation, in …