Author, as appears in the article.: Bariviera A; Zunino L; Belén Guercio M; Martinez L; Rosso O

Department: Gestió d'Empreses

URV's Author/s: Fernández Bariviera, Aurelio / MARTÍNEZ, LISANA BELÉN

Keywords: Tomorrow Symbolic dynamics Stochastic processes Risk measure and management Prices Predictability Nonlinear dynamics Motion Models of financial markets Entropy Econometría Econofisica Crude-oil markets Complexity Capital-markets

Abstract: 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 this purpose we use a powerful statistical tool, relatively new in the financial literature: the complexity-entropy causality plane. This representation space allows us to graphically classify the different bonds according to their degree of informational efficiency. We find that this classification agrees with the credit ratings assigned by Moody's. In particular, we detect the formation of two clusters, which correspond to the global categories of investment and speculative grades. Regarding the latter cluster, two subgroups reflect distinct levels of efficiency. Additionally, we also find an intriguing absence of correlation between informational efficiency and firm characteristics. This allows us to conclude that the proposed permutation-information-theory approach provides an alternative practical way to justify bond classification. © 2013 IOP Publishing Ltd and SISSA Medialab srl.

Thematic Areas: Statistics, probability and uncertainty Statistics and probability Statistical and nonlinear physics Química Physics, mathematical Medicina ii Mechanics Materiais Matemática / probabilidade e estatística Interdisciplinar Geociências Ensino Engenharias iv Engenharias iii Engenharias ii Engenharias i Economia Ciencias sociales Ciências biológicas ii Ciências biológicas i Ciências ambientais Ciências agrárias i Ciência da computação Biodiversidade Astronomia / física

licence for use: https://creativecommons.org/licenses/by/3.0/es/

ISSN: 17425468

Author's mail: aurelio.fernandez@urv.cat

Author identifier: 0000-0003-1014-1010

Record's date: 2023-02-19

Papper version: info:eu-repo/semantics/publishedVersion

Link to the original source: https://iopscience.iop.org/article/10.1088/1742-5468/2013/08/P08007

Licence document URL: http://repositori.urv.cat/ca/proteccio-de-dades/

Papper original source: Journal Of Statistical Mechanics-Theory And Experiment. 2013 (8):

APA: Bariviera A; Zunino L; Belén Guercio M; Martinez L; Rosso O (2013). Efficiency and credit ratings: A permutation-information-theory analysis. Journal Of Statistical Mechanics-Theory And Experiment, 2013(8), -. DOI: 10.1088/1742-5468/2013/08/P08007

Article's DOI: 10.1088/1742-5468/2013/08/P08007

Entity: Universitat Rovira i Virgili

Journal publication year: 2013

Publication Type: Journal Publications