Hand, John R M; Holthausen, Robert W; Leftwich, Richard W - In: Journal of Finance 47 (1992) 2, pp. 733-52
This paper examines daily excess bond returns associated with announcements of additions to Standard and Poor's Credit Watch List, and to rating changes by Moody's and Standard and Poor's. Reliably nonzero average excess bond returns are observed for additions to Standard and Poor's Credit Watch...