Combining Bond Rating Forecasts Using Logit
Mark Kamstra (),
Peter Kennedy and
The Financial Review, 2001, vol. 36, issue 2, 75-96
Companies sometimes use statistical analysis to anticipate their bond ratings or a change in the rating. However, different statistical models can yield different ratings forecasts, and there is no clear rule for which model is preferable. We use several forecasting methods to predict bond ratings in the transportation and industrial sectors listed by Moody's bond rating service. A variant of the ordered-logit regression-combining method of Kamstra and Kennedy 1998 yields statistically significant, quantitatively meaningful improvements over its competitors, with very little computational cost. Copyright 2001 by MIT Press.
References: Add references at CitEc
Citations: View citations in EconPapers (18) Track citations by RSS feed
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Working Paper: Combining Bond Rating Forecasts Using Logit (1998)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:36:y:2001:i:2:p:75-96
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0732-8516
Access Statistics for this article
The Financial Review is currently edited by Cynthia J. Campbell and Arnold R. Cowan
More articles in The Financial Review from Eastern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().