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Rating-Based Investment Practices and Bond Market Segmentation
This paper documents a new channel for rating-based bond market segmentation which, in contrast to prior research, is based on non-regulatory asset management practices. A 2005 Lehman Brothers index redefinition provides a quasi-natural experiment in which a number of previously high-yield split-rated bonds were mechanically relabeled as investment grade. Although their regulatory standing was unaffected, these bonds experienced abnormal yield declines of 63 basis points. These valuation changes can be traced to buying by segmented institutional investors for whom these bonds became investable. Reputation, regulation, and liquidity cannot explain the observed price and trading patterns..Printed Journal
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| RAPS0402 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Oxford: Oxford University Press |
|---|---|
| Edisi | - |
| Subjek | Market segmentation Rating Institutional Investors Rating agencies Corporate bond market based investment management practices |
| ISBN/ISSN | 20459920 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |