Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements

Using daily stock returns

Stephen J. Brown, Jerold B. Warner · Journal of Financial Economics · 1985 · 6.6K citations

Business, Finance, Financial Econometrics +11

Measuring security price performance

Stephen J. Brown, Jerold B. Warner · Journal of Financial Economics · 1980 · 3.4K citations

Business, Business Economics, Cybersecurity +10

The relationship between credit default swap spreads, bond yields, and credit rating announcements

John Hull, Mirela Predescu, Alan White · Journal of Banking & Finance · 2004 · 1K citations

Business, Economics, Finance +16

The Effect of Bond Rating Agency Announcements on Bond and Stock Prices

John R. M. Hand, Robert W. Holthausen, Richard Leftwich · The Journal of Finance · 1992 · 1K citations

Business, Economics, Finance +15

The effect of bond rating changes on common stock prices

Robert W. Holthausen, Richard Leftwich · Journal of Financial Economics · 1986 · 769 citations

Business, Economics, Finance +14