Credit Ratings and The Cross-Section of Stock Returns

  title={Credit Ratings and The Cross-Section of Stock Returns},
  author={Doron Avramov},
  • Doron Avramov
  • Published 2006
Firms with low credit risk realize higher returns than firms with high credit risk. This credit risk effect in the cross-section of stock returns is a puzzle because investors appear to pay a premium for bearing credit risk. This paper shows that the negative relation between credit risk and returns is statistically and economically significant only during… CONTINUE READING