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.
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