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Does Split Rating Affect Corporate Bond Yields? Evidence from North America and Europe

Irina Kolegova

Irina Kolegova

HTW Berlin -University of Applied SciencesBerlin, Germany
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Kolegova, Irina
 e 
Tetiana Paientko

Tetiana Paientko

HTW Berlin -University of Applied SciencesBerlin, Germany
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Paientko, Tetiana
  
07 gen 2025
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Pubblicato online: 07 gen 2025
Pagine: 17 - 33
DOI: https://doi.org/10.2478/ceej-2025-0002
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© 2025 Irina Kolegova et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.

Figure 1.

Spread Means of split-rated and non-split-rated corporate bonds
Spread Means of split-rated and non-split-rated corporate bonds

Results of the Two-Sample t-Test

Category Number of split rated bonds Number of non-split rated bonds Spread mean of split rated bonds Spread mean of non-split rated bonds Spread mean difference One-sided p-value Two-sided p-value Levene’s test for equality of variances (p-value) Shapiro-Wilk test of normality (p-value) Kolmogorov-Smirnov test of normality (p-value)
1 2 3 4 5 6 7 8 9 10 11
AA− 48 51 86.3 76.2 10.1 0.021 0.042 0.106 0.842 0.2
A+ 26 36 115.5 96.7 18.8 0.024 0.048 0.952 0.218 0.2
A 84 87 125.5 109.5 16 0.017 0.033 0.543 0.067 0.088
A− 85 85 134.63 118.14 16.49 0.005 0.01 0.808 0.063 0.2
BBB+ 133 140 146 134 12 0.011 0.021 0.561 0.124 0.07
BBB 84 92 184.3 162.2 22.1 0.002 0.005 0.883 0.082 0.2
BB 65 67 298.7 280.4 18.3 0.012 0.025 0.863 0.158 0.2
B 68 68 463.3 418 45.3 0.024 0.048 0.091 <0.05 <0.05

Categorisation of Bonds by Risk Grade

Category (equivalent to S&P ratings) Pair of split ratings with a two-notches difference Moody’s / S&P Middle rating of the split pair Moody’s / S&P Risk
“AA+” Aa2 / AAA Aa1 / AA+ Investment-grade bonds
“AA” Aa3 / AA+ Aa2 / AA
“AA−” A1 / AA Aa3 / AA−
“A+” A2 / AA− A1 / A+
“A” A3 / A+ A2 / A
“A−” Baa1 / A A3 / A−
“BBB+” Baa2 / A− Baa1 / BBB+
“BBB” Baa3 / BBB+ Baa2 / BBB
“BB” Ba3 / BB+ Ba2 / BB Speculative bonds
“BB−” B1 / BB Ba3 / BB−
“B+” B2 / BB− B1 / B+
“B” B3 / B+ B2 / B
Lingua:
Inglese
Frequenza di pubblicazione:
1 volte all'anno
Argomenti della rivista:
Economia e business, Economia politica, Teoria economica, sistemi e strutture, Microeconomia, Macroeconomia, Politica economica
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