The study proposes and tests a risk-free rate model that simultaneously lets the risk-free rate migrate between rating categories as risk-free rate ranges, and follow a random walk within rating categories as risk-free rate ranges. Although the study arbitrarily assigned rating categories, and...

The study inquires whether ratings and rating changes in particular have anyimpact on bond prices. In doing so, the price data of a number of corporate vanillabonds were investigated over corresponding rating change event periods.For various reasons, the South African Bond Market could not...