Efficiency and Credit Ratings: A Permutation-Information-Theory Analysis

  title={Efficiency and Credit Ratings: A Permutation-Information-Theory Analysis},
  author={Aurelio Fern{\'a}ndez Bariviera and Luciano Zunino and Mar{\'i}a Bel{\'e}n Guercio and Lisana B. Martinez and Osvaldo Anibal Rosso},
  journal={ERN: Other Econometrics: Econometric \& Statistical Methods - Special Topics (Topic)},
The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this paper we explore the relationship between credit ratings and informational efficiency of a sample of thirty nine corporate bonds of US oil and energy companies from April 2008 to November 2012. For that purpose, we use a powerful statistical tool relatively new in the financial literature: the complexity-entropy causality plane. This representation space allows to graphically classify the… Expand
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03 Bariviera article_ESRI Vol 45-1
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