THE DYNAMICS OF BOND YIELD SPREADS AROUND RATING REVISION DATES
We examine the effect of rating revisions on sterling Eurobond yields using a panel model with conditional heteroskedasticity that controls for event-induced changes in the variance of spreads. Positive rating revisions are fully anticipated by the time the upgrade occurs. Negative revisions are only partially anticipated, and spreads on downgraded bonds rise for some time after the downgrade has been announced. This asymmetry is not apparent in a conventional event study model. All ratings announcements are accompanied by a temporary fall in yield volatility. We attribute this to the resolution of uncertainty about the true rating of the bond. 2006 The Southern Finance Association and the Southwestern Finance Association.
In this article,we use the Fourier flexible functional form to analyze the efficiency changes of 12 share-holding commercial banks whose branches are expanding quickly.We find that,the fast increase of the numbers and the average scales of bank branches both have significantly positive effects on bank cost efficiencies.During 2000 to 2005,the cost efficiency of the 12 banks as a whole increased in a fluctuant way,and there is a relatively big increase of the efficiency in the latter half of the period compared to the former half.