Articles producció científica> Gestió d'Empreses

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

  • Datos identificativos

    Identificador: imarina:6387477
    Autores:
    Bariviera AZunino LBelén Guercio MMartinez LRosso O
    Resumen:
    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.
  • Otros:

    Autor según el artículo: Bariviera A; Zunino L; Belén Guercio M; Martinez L; Rosso O
    Departamento: Gestió d'Empreses
    Autor/es de la URV: Fernández Bariviera, Aurelio / Martínez Salamero, Luis / MARTÍNEZ, LISANA BELÉN
    Palabras clave: 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
    Resumen: 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.
    Áreas temáticas: 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
    Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
    ISSN: 17425468
    Direcció de correo del autor: aurelio.fernandez@urv.cat
    Identificador del autor: 0000-0003-1014-1010
    Fecha de alta del registro: 2024-09-07
    Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
    Enlace a la fuente original: https://iopscience.iop.org/article/10.1088/1742-5468/2013/08/P08007
    URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
    Referencia al articulo segun fuente origial: Journal Of Statistical Mechanics-Theory And Experiment. 2013 (8):
    Referencia de l'ítem segons les normes 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
    DOI del artículo: 10.1088/1742-5468/2013/08/P08007
    Entidad: Universitat Rovira i Virgili
    Año de publicación de la revista: 2013
    Tipo de publicación: Journal Publications
  • Palabras clave:

    Mechanics,Physics, Mathematical,Statistical and Nonlinear Physics,Statistics and Probability,Statistics, Probability and Uncertainty
    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
    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
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