@article {Jain38, author = {Pankaj K. Jain and Qin Wang}, title = {Credit-Rating Changes and Institutional Trading}, volume = {8}, number = {1}, pages = {38--47}, year = {2012}, doi = {10.3905/jot.2012.8.1.038}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Proactive bond-rating changes, especially downgrades, are associated with heightened equity market trading by institutional investors. Institutional sell minus buy imbalance jumps from almost 0 to nearly 13\% of the total volume in the 5-day period preceding downgrades, controlling for other determinants of volume. Trades consistent with credit-rating changes are more profitable than those consistent with equity analysts{\textquoteright} recommendations. Rating changes have an incremental explanatory power for overall profitability of institutional trades controlling for past returns, momentum, Fama{\textendash}French factors, and regulation fair disclosure in periods both before and after the financial crisis.TOPICS: Equity portfolio management, volatility measures, risk management}, issn = {1559-3967}, URL = {https://jot.pm-research.com/content/8/1/38}, eprint = {https://jot.pm-research.com/content/8/1/38.full.pdf}, journal = {The Journal of Trading (Retired)} }