The Role of Default Risk in Determining the Market Reaction
to Debt Announcements
Sample and Methodology
To test default risk related implications of debt issuance, abnormal stock price reactions to new straight debt offers are examined. The initial sample was found by recording the debt filings reported in the “Recent Security Registrations” section of the Investment Dealer’s Digest (IDD) during the years 1984 to 1992. Any debt filings which represented convertible debt were excluded. In addition, any straight debt filings which coincided with filings for convertible debt, preferred stock, or common stock were deleted. The filing date, amount of the filing, and type of debt were recorded.
The Nexis on-line search system was used to check announcement dates. This service allows for searches of newspapers (including the Wall Street Journal and the
New York Times) and wire services (such as Reuters Financial Wire and PR Newswire). The announcement date is defined as the earliest date the debt offering is
mentioned in any of the searched sources. A two-day announcement period was considered.’ Observations were deleted if “other information” about a firm was reported
in these sources on the day prior to, the day after, or the day of the debt announcement.
Bond ratings assigned to each firm’s debt were chosen as the measure of default risk. The assertion employed by using bond ratings to proxy default risk is that default risk is lower for firms with “safer” debt ratings. Of course, bond ratings are an assessment of creditworthiness of an obligor with respect to a specific obligation. In general, this is not a significant problem since a large majority of firms exhibit identical ratings for all outstanding bonds. For firms with varying ratings, an overall bond rating was obtained by calculating a value-weighted average of the various ratings after converting ratings to numerical ran king^.^ Straight debt issues that preceded overall bond rating downgrades
were interpreted as indicating increased default risk, while those preceding overall rating upgrades were seen as signaling decreased default risk. Firms issuing new
debt but experiencing no overall bond rating change were interpreted as having insignificantly altered their default risk.
參考答案:假设值危险在决定市场反应的角色到债务公告样品和方法学测试被讲债务发行的含意假设值危险，不正常的股价新的直债务提议被调查的反应. 开始的样品被藉由在 1984 到 1992 年期间记录债务锉屑发现在投资经销商的文摘 (IDD) 的 " 最近的安全登记 " 区段中报告. 任何的债务锉屑表现可改变的债务被排除. 除此之外，为可改变的债务，优先股或普通股与锉屑一致的任何直债务锉屑正在划除. 债务的文件日期，文件者的数量和类型被记录.
在线的搜寻系统用来检查公告日期的 Nexis. 这一个服务考虑到报纸的搜寻 ( 包括华尔街日报和那纽约时报) 而且电线维修 ( 像是路透社财政的电线和 PR 新闻专线). 公告日期被定义为最早的日期债务提供是在任何一个被搜寻的来源中提到. 一个二天的公告时期被考虑’。 如果关于一个公司的 " 其他的数据 " 被报告，观察正在划除在那天在这些来源中在～之前，那天在, 之后或债务公告的天.
被指定给每个公司的债务庞德等级被选择如对假设值的衡量危险. 在藉由使用对代理假设值危险的束缚等级被雇用的断言是假设值危险对和较 " 比较安全的 " 债务等级的公司是比较低的. 当然, 束缚等级是有关于特定的义务一个义务人的一个 creditworthiness 的评估. 因为一个大多数的公司为所有的杰出束缚展现同一的等级，大体上，这不是一个重要的问题. 因为公司由于改变等级，一个全部的束缚等级被藉由在将等级转换成之后计算各种不同的等级价值重量平均获得数字的跑国王^.^ 在全部的束缚等级之前的直债务议题降级被解释同样地指出增加假设值危险, 当前述的全部等级升级被视为作信号减少假设值危险的那些时候. 新的公司发行债务除了经历之外没有全部的束缚等级变化被解释当做无关重要地有改变他们的假设值危险.
