References for Journalarticle 2009-38

Please note: the authoritative source for references in this article is the according PDF file.

Number of references: 25

Abad-Romero, P., and Robles-Fernandez, M.D. (2006). Risk and Return Around Bond Rating Changes: New Evidence From the Spanish Stock Market. Journal of Business Finance & Accounting, 33(5-6):885–908. http://ideas.repec.org/a/bla/jbfnac/v33y2006-06i5-6p885-908.html

Backus, D.K., and Gregory, A.W. (1993). Theoretical Relations between Risk Premiums and Conditional Variances. Journal of Business & Economic Statistics, 11(2):177–185. http://ideas.repec.org/a/bes/jnlbes/v11y1993i2p177-85.html

Barron, M.J., Clare, A.D., and Thomas, S.H. (1997). The Effect of Bond Rating Changes and New Ratings on UK Stock Returns. Journal of Business Finance & Accounting, 24(3):497–509. http://ideas.repec.org/a/bla/jbfnac/v24y1997-04i3p497-509.html

Bollerslev, T. (1986). Generalized Autoregressive Conditional heteroskedasticity. Journal of Econometrics, 31(3):307–327. http://econpapers.repec.org/RePEc:eee:econom:v:31:y:1986:i:3:p:307-327

Campbell, J.Y. (1987). Stock Returns and the Term Structure. Journal of Financial Economics, 18(2):373-399. http://ideas.repec.org/a/eee/jfinec/v18y1987i2p373-399.html

Choy, E., Gray, S., and Ragunathan, V. (2006). Effect of Credit Rating Changes on Australian Stock Returns. Accounting and Finance, 46(5):755–769. http://ideas.repec.org/a/bla/acctfi/v46y2006i5p755-769.html

Cornell, B., Landsman, W., and Shapiro, A.C. (1989). Cross-Sectional Regularities in the Response of Stock Prices to Bond Rating Changes. Journal of Accounting, Auditing & Finance, 4(4):460–479. http://connection.ebscohost.com/content/article/1024760699.html;jsessionid=619A5CF47AFCEC792A37F91414C6011B.ehctc1

Engle, R.F., Lilien, D.M., and Robins, R.P. (1987). Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model. Econometrica, 55(2):391–407. http://ideas.repec.org/a/ecm/emetrp/v55y1987i2p391-407.html

Followill, R., and Martell, T. (1997). Bond Review and Rating Change Announcements: An Examination of Informational Value and Market Efficiency. Journal of Economics and Finance, 21(2):75–82. http://ideas.repec.org/a/spr/jecfin/v21y1997i2p75-82.html

French, K.R., Schwert, G.W., and Stambaugh, R.F. (1987). Expected Stock Returns and Volatility. Journal of Financial Economics, 19(1):3–29. http://ideas.repec.org/a/eee/jfinec/v19y1987i1p3-29.html

García-Romo, G., Ibarra-Salazar, J., and Sotres-Cervantes, L. (2005). Determinants of Mexican States Government Credit Ratings. Departament of Economics, Instituto Tecnológico de Estudios Superiores de Monterrey. Unpublished.

Glosten, L.R., Jagannathan, R., and Runkle, D.E. (1993). On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks. Journal of Finance, 48(5):1779–1801. http://ideas.repec.org/a/bla/jfinan/v48y1993i5p1779-1801.html

Goh, J.C., and Ederington, L.H. (1993). Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders? Journal of Finance, 48(5):2001–2008. http://ideas.repec.org/a/bla/jfinan/v48y1993i5p2001-08.html

Hernandez-Trillo, F. (1997). Es Disciplinado el Mercado Crediticio Estatal Mexicano? Una Arista para el Nuevo Federalismo. El Trimestre Económico, 64:199–219. http://www.indetec.gob.mx/Publicaciones/Detalle.asp?Id=156&Codigo=3

Hernandez-Trillo, F., Cayeros, A.D., and Gonzalez, R.G. (2002). Determinants and Consequences of Bailing Out States in Mexico. Eastern Economic Journal, 28(3):365-380. http://ideas.repec.org/a/eej/eeconj/v28y2002i3p365-380.html

Hochman, S., and Valadez, M. (2004). Using Credit Ratings Can be an Effective Means of Instilling a Culture of Creditworthiness. In: Subnational Capital Markets in Developing Countries: From Theory to Practice, ed. by Mila, F., The World Bank. http://siteresources.worldbank.org/INTLACREGTOPURBDEV/FeaturedTopics/20860291/TheorytoPractice.pdf

Holthausen, R.W., and Leftwich, R. (1986). The Effect of Bond Rating Changes on Common Stock Prices. Journal of Financial Economics, 17(1):57–89. http://ideas.repec.org/a/eee/jfinec/v17y1986i1p57-89.html

Ingram, R.W., Brooks, L.D., and Copeland, R.M. (1983). The Information Content of Municipal Bond Rating Changes: A Note. Journal of Finance, 38(3):997–1003. http://ideas.repec.org/a/bla/jfinan/v38y1983i3p997-1003.html

Liu, P., and Seyyed, F.J. (1991). The Impact of Socioeconomic Variables and Credit Ratings on Municipal Bond Risk Premia. Journal of Business Finance & Accounting, 18(5):735–746. http://dx.doi.org/10.1111/j.1468-5957.1991.tb00235.x

Nelson, D.B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2):347-70. http://ideas.repec.org/a/ecm/emetrp/v59y1991i2p347-70.html

Reyes, M.G. (1999). Size, Time-varying Beta, and Conditional Heteroscedasticity in UK Stock Returns. Review of Financial Economics, 8(1):1-10. http://ideas.repec.org/a/eee/revfin/v8y1999i1p1-10.html

Scruggs, J.T. (1998). Resolving the Puzzling Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-Factor Approach. Journal of Finance, 53(2):575–603. http://ideas.repec.org/a/bla/jfinan/v53y1998i2p575-603.html

Wansley, J.W., and Clauretie, T.M. (1985). The Impact of CreditWatch Placement on Equity Returns and Bond Prices? The Journal of Financial Research, 8:31–42.

Yorio, G. (2006). Calificaciones de riesgo crediticio de los gobiernos estatales en México. Tesis Maestría en Economía, El Colegio de México.

Zaima, J.K., and McCarthy, J.E. (1988). The Impact of Bond Rating Changes on Common Stocks and Bonds: Tests of the Wealth Redistribution Hypothesis. The Financial Review, 23(4):483–498. http://ideas.repec.org/a/bla/finrev/v23y1988i4p483-98.html