Efficiency and credit ratings: a permutation-information-theory analysis

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 t...

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Detalles Bibliográficos
Autores principales:	Fernández Bariviera, Aurelio, Zunino, Luciano José, Guercio, María Belén, Martinez, Lisana Belén, Rosso, Osvaldo Anibal
Formato:	Articulo Preprint
Lenguaje:	Inglés
Publicado:	2013
Materias:	Matemática Corporate bonds Oil and energy sectors Market efficiency Complexity-entropy causality plane Permutation entropy Permutation complexity
Acceso en línea:	http://sedici.unlp.edu.ar/handle/10915/98418 https://ri.conicet.gov.ar/11336/2007 http://arxiv.org/abs/1509.01839 http://iopscience.iop.org/article/10.1088/1742-5468/2013/08/P08007
Aporte de:	SEDICI (UNLP) de Universidad Nacional de La Plata

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