{"title":"卖方债务研究有投资价值吗?","authors":"Sunhwa Choi, Robert Kim","doi":"10.1080/00014788.2021.2012418","DOIUrl":null,"url":null,"abstract":"This study examines whether sell-side debt research has investment value for debt investors. We find that both the levels of and changes in recommendations are associated with event-time abnormal bond returns, and that changes in recommendations (i.e. upgrades and downgrades) are associated with stronger price reactions. More importantly, we find that changes in recommendations are associated with a significant post-event bond price drift, suggesting delayed market reactions to recommendation changes. The calendar-time portfolio approach of buying (selling) bonds following upgrades (downgrades) generates significant abnormal bond returns. In addition, we present new evidence that debt analysts often provide different recommendations for bonds issued by a firm to reflect different bond-specific characteristics. Overall, our results suggest that debt analysts’ recommendations have investment value.","PeriodicalId":7054,"journal":{"name":"Accounting and Business Research","volume":"53 1","pages":"239 - 270"},"PeriodicalIF":2.0000,"publicationDate":"2021-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Does sell-side debt research have investment value?\",\"authors\":\"Sunhwa Choi, Robert Kim\",\"doi\":\"10.1080/00014788.2021.2012418\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study examines whether sell-side debt research has investment value for debt investors. We find that both the levels of and changes in recommendations are associated with event-time abnormal bond returns, and that changes in recommendations (i.e. upgrades and downgrades) are associated with stronger price reactions. More importantly, we find that changes in recommendations are associated with a significant post-event bond price drift, suggesting delayed market reactions to recommendation changes. The calendar-time portfolio approach of buying (selling) bonds following upgrades (downgrades) generates significant abnormal bond returns. In addition, we present new evidence that debt analysts often provide different recommendations for bonds issued by a firm to reflect different bond-specific characteristics. Overall, our results suggest that debt analysts’ recommendations have investment value.\",\"PeriodicalId\":7054,\"journal\":{\"name\":\"Accounting and Business Research\",\"volume\":\"53 1\",\"pages\":\"239 - 270\"},\"PeriodicalIF\":2.0000,\"publicationDate\":\"2021-10-20\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Accounting and Business Research\",\"FirstCategoryId\":\"91\",\"ListUrlMain\":\"https://doi.org/10.1080/00014788.2021.2012418\",\"RegionNum\":4,\"RegionCategory\":\"管理学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Accounting and Business Research","FirstCategoryId":"91","ListUrlMain":"https://doi.org/10.1080/00014788.2021.2012418","RegionNum":4,"RegionCategory":"管理学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Does sell-side debt research have investment value?
This study examines whether sell-side debt research has investment value for debt investors. We find that both the levels of and changes in recommendations are associated with event-time abnormal bond returns, and that changes in recommendations (i.e. upgrades and downgrades) are associated with stronger price reactions. More importantly, we find that changes in recommendations are associated with a significant post-event bond price drift, suggesting delayed market reactions to recommendation changes. The calendar-time portfolio approach of buying (selling) bonds following upgrades (downgrades) generates significant abnormal bond returns. In addition, we present new evidence that debt analysts often provide different recommendations for bonds issued by a firm to reflect different bond-specific characteristics. Overall, our results suggest that debt analysts’ recommendations have investment value.
期刊介绍:
Accounting and Business Research publishes papers containing a substantial and original contribution to knowledge. Papers may cover any area of accounting, broadly defined and including corporate governance, auditing and taxation. However the focus must be accounting, rather than (corporate) finance or general management. Authors may take a theoretical or an empirical approach, using either quantitative or qualitative methods. They may aim to contribute to developing and understanding the role of accounting in business. Papers should be rigorous but also written in a way that makes them intelligible to a wide range of academics and, where appropriate, practitioners.