International Research Journal of Commerce , Arts and Science
( Online- ISSN 2319 - 9202 ) New DOI : 10.32804/CASIRJ
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IMPACT OF CHANGE IN BANKRUPTCY PROBABILITY ON STOCK PRICE RESPONSE UNDER BOND RATING CHANGES
1 Author(s): DR. SHRUTI MATHUR
Vol - 8, Issue- 11 , Page(s) : 391 - 399 (2017 ) DOI : https://doi.org/10.32804/CASIRJ
Recently, credit rating agencies have been criticized for lack of timely changes in ratings. This study looks at an alternative proxy of default, namely, the bankruptcy probability and explores the relationship between change in this variable and the abnormal returns around bond rating changes.