Notations et écarts de rentabilité: le marché français avant l'euro

Hervé Alexandre () and Maxime Merli

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Abstract: The main task of this paper is to confront two classical measures of default risk of the issuer, the rating and the spread. The first is attributed by agencies specialized in this activity (Standard and Poor's or Moody's) while the second results directly from the market price of the bond. This article studies this link over a period of two years for about forty French denominated bonds. Two measures of the spread are used and the results obtained show the very partial consideration of this information by the investors on the French bond market.

Keywords: default risk; rating; spread; bonds; risque de défaut.; notation; spread de taux; obligations (search for similar items in EconPapers)
Date: 2003-09
Note: View the original document on HAL open archive server: https://hal.science/hal-01622853v1
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Published in Finance Contrôle Stratégie, 2003, 6 (3)

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Journal Article: Notations et écarts de rentabilité:le marché français avant l'euro (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01622853

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