Credit rating predictability : implications for active investors / by Thomas Green.

Green, Thomas. (2006). Credit rating predictability : implications for active investors / by Thomas Green. Honours Thesis, School of Business, The University of Queensland.

       
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Author Green, Thomas.
Thesis Title Credit rating predictability : implications for active investors / by Thomas Green.
School, Centre or Institute School of Business
Institution The University of Queensland
Publication date 2006
Thesis type Honours Thesis
Total pages 75
Language eng
Subjects 14 Economics
15 Commerce, Management, Tourism and Services
Formatted abstract This thesis examines the performance of a portfolio of stocks formed on predicted changes in general issuer credit rating. The motivation for doing so stems from the large cumulative abnormal return documented prior to a change in credit rating. Altman and Rijken (2004) show that cumulative changes in estimated ordered logit credit ratings anticipate actual changes in credit rating. This thesis predicts changes in credit rating based on this anticipation, forms appropriate equity portfolios and monitors portfolio performance.

 
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