Repository logo
 

The response of bond prices to insurer ratings changes

Date

2014-04

Authors

Miao, Hong Miao, author
Ramchander, Sanjay, author
Tianyang Wang Tianyang, author
The Geneva Papers on Risk and Insurance. Issues and Practice, publisher

Journal Title

Journal ISSN

Volume Title

Abstract

This paper examines the impact of insurer ratings changes on bond prices. Using insurer ratings from four major rating agencies and data covering the recent financial crisis period, we document that downgrades have a strong negative price impact on bond prices, especially when the downgrades are reinforced by multiple agencies. In contrast, the announcement-day impact of upgrades is found to be weak. Our evidence is consistent with the predictions of structural credit risk models.

Description

Includes bibliographical references (pages 411-412).
Published as: The Geneva Papers on Risk and Insurance Issues and Practice, vol. 39, no. 2, September 2013, pp.389–413, https://doi.org/10.1057/gpp.2013.21.

Rights Access

Subject

insurer ratings changes
ratings agency
bond price impact
event study

Citation

Associated Publications