Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 21, 2023 erstellt
Beschreibung:
Firms with similar credit ratings, especially junk-rated ones, tend to comove strongly with each other in stock returns. Following a firm’s downgrade to junk grade, it tends to comove more strongly with other junk-rated firms and less with investment-rated ones, which cannot be fully explained by changes in fundamentals. Finally, we find evidence consistent with the investor clientele effect explanation by examining a) how mutual funds with different credit preferences adjust their holdings of downgraded firms and b) how flows to mutual funds that tend to invest in junk-rated firms affect these firms’ stock returns and comovement