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The Journal of Fixed Income

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Do Bond Investors Know Better Than the Credit Rating Agencies?

Miles Livingston, Yao Zheng and Lei Zhou
The Journal of Fixed Income Spring 2023, jfi.2023.1.154; DOI: https://doi.org/10.3905/jfi.2023.1.154
Miles Livingston
is the the William D. Hussey professor at the Department of Finance, Insurance, and Real Estate at Warrington College of Business, University of Florida, in Gainesville, FL
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Yao Zheng
is an associate professor at the Department of Finance at the College of Business, Northern Illinois University, DeKalb, IL
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Lei Zhou
is the Jones, Diedrich and Mennie professor at the Department of Finance at the College of Business, Northern Illinois University, DeKalb, IL
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Article Information

jfi.2023.1.154
DOI 
https://doi.org/10.3905/jfi.2023.1.154

Published By 
Pageant Media Ltd
Print ISSN 
1059-8596
Online ISSN 
2168-8648
History 
  • Published online January 20, 2023.

Copyright & Usage 
© 2023 Pageant Media Ltd

Author Information

  1. Miles Livingston
    1. is the the William D. Hussey professor at the Department of Finance, Insurance, and Real Estate at Warrington College of Business, University of Florida, in Gainesville, FL. (miles.livingston{at}warrrington.ufl.edu)
  2. Yao Zheng
    1. is an associate professor at the Department of Finance at the College of Business, Northern Illinois University, DeKalb, IL. (yzheng2{at}niu.edu)
  3. Lei Zhou
    1. is the Jones, Diedrich and Mennie professor at the Department of Finance at the College of Business, Northern Illinois University, DeKalb, IL. (lzhou{at}niu.edu)
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The Journal of Fixed Income: 32 (3)
The Journal of Fixed Income
Vol. 32, Issue 3
Winter 2023
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Do Bond Investors Know Better Than the Credit Rating Agencies?
Miles Livingston, Yao Zheng, Lei Zhou
The Journal of Fixed Income Jan 2023, jfi.2023.1.154; DOI: 10.3905/jfi.2023.1.154

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Do Bond Investors Know Better Than the Credit Rating Agencies?
Miles Livingston, Yao Zheng, Lei Zhou
The Journal of Fixed Income Jan 2023, jfi.2023.1.154; DOI: 10.3905/jfi.2023.1.154
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  • Article
    • Abstract
    • MOTIVATION, HYPOTHESIS, AND METHODOLOGY
    • DATA AND SAMPLE DESCRIPTION
    • YIELD SPREAD REGRESSION MODEL AND UNUSUAL YIELD SPREAD
    • UNUSUAL YIELD SPREADS AND POTENTIAL RATING BIAS
    • UNUSUAL YIELD SPREADS AND RATING CHANGES/DEFAULTS
    • CONCLUSION
    • APPENDIX A
    • ENDNOTES
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