Robert S. Kaplan and Gabriel Urwitz, «Statistical Models of Bond Ratings; A Methodological Inquiry*, Journal of Business, 52, no. 2 (April 1979), pp. 231-261.
Ahmed Belkaoui, Industrial Bonds and the Rating Process (Westport, CT; Quorum Books, 1983).
3.Изменения рейтингов облигаций изучались в работах:
Steven Katz, «The Price Adjustment Process of Bonds to Rating Reclassification: A Test of Bond Market Efficiency*, Journal of Finance, 29, no. 2 (May 1974), pp. 551-559. Paul Grier Katz, «The Differential Effects of Bond Rating Changes Among Industrial and Public Utility Bonds by Maturity*, Journal of Business, 49, no. 2 (April 1976), pp. 226-239.
Mark I. Weinstein, «The Effect of a Rating Change Announcement on Bond Price*, Journal of Financial Economics, 5, no. 3 (December 1977), pp. 329-350.
Douglas J. Lucas and John G. Lonski, «Changes in Софогаге Credit Quality 1970-1990», Journal of Fixed Income, 1, no. 4 (March 1992), pp. 7-14.
Edward I. Altman and Duen Li Kao, «Rating Drift in High-Yield Bonds*, Journal of Fixed Income, 1, no. 4 (March 1992), pp. 15-20.
Edward I. Altman, «The Implications of Bond Ratings Drift», Financial Analysts Journal, 48, no. 3 (May/June 1992), pp. 64-75.
John R. M. Hand, Robert W. Holthausen, and Richard W. Leftwich, «The Effect of Bond Rating Agency Announcements on Bond and Stock Prices», Journal of Finance, 47, no. 2 (June 1992), pp. 733-752.
4.Рейтинги муниципальных облигаций обсуждаются в работах:
John Е. Petersen, The Rating Game (New York: The Twentieth Century Fund, 1974). Robert W. Ingram, Leroy D. Brooks, and Ronald M. Copeland, «The Information Content of Municipal Bond Rating Changes: A Note», Journal of Finance, 38, no. 3 (June 1983), pp. 997-1003.
George Foster, Financial Statement Analysis (Englewood Cliffs, NJ: Prentice Hall, 1986), Chapter 14.
5.Премии за риск неуплаты обсуждаются в статьях:
W. Braddock Hickman, Corporate Bond Quality and Investor Experience (Princeton, NJ: Princeton University Press, 1958).
Harold G. Fraine and Robert H. Mills, «The Effect of Defaults and Credit Deterioration on Yields of Софога1е Bonds», Journal of Finance, 16, no. 3 (September 1961), pp. 423-434. Thomas R. Atkinson and Elizabeth T. Simpson, Trends in Corporate Bond Quality (New York: Columbia University Press, 1967).
Gordon Pye, «Gaugingthe Default Premium», Financial Analysts Journal, 30, no. 1 (January/ February 1974), pp. 49-52.
Ricardo J. Rodriguez, «Default Risk, Yield Spreads, and Time to Maturity*, Journal of Financial and Quantitative Analysis, 23, no. 1 (March 1988), pp. 111 - 117. Edward I. Altman, «Measuring СофогаГе Bond Mortality and Performance*, Journal of Finance, 44, no. 4 (September 1989), pp. 909-922.
Raul Asquith, David W. MuUins, Jn, and Eric D. Wolff, «Original Issue High Yield Bonds; Aging Analysis of Defaults, Exchanges, and Calls*, Journal of Finance, 44, no. 4 (September 1989), pp. 923-952.
Marshall E. Blume and Donald B. Keim, «Realized Returns and Defaults on Low-Grade Bonds: The Cohort of 1977 and 1978», Financial Analysts Journal, 47, no. 2 (March/April 1991), pp. 63-72.
Marshall E. Blume and Donald B. Keim, and Sandeep A. Patel, «Returns and Volatility of Low-Grade Bonds, 1977-1989», Journal of Finance, 46, no. 1 (March 1991), pp. 49-74.
Bradford Cornell and Kevin Greene, «The Investment Performance of Low-Grade Bond Funds», Journal of Finance, 46, no. 1 (March 1991), pp. 29-48.
Jerome S. Pons and Andrew E. Kimball, «Coфorate Bond Defaults and Default Rates 1970-1990», Journal of Fixed Income, 1, no. 1 (June 1991), pp. 36-47. Marshall E. Blume and Donald B. Keim, «The Risk and Return of Low-Grade Bonds: An Update*, Financial Analysts Journal, 47, no. 5 (September/October 1991), pp. 85-89. Edward I. Altman, «Defaults and Return on Hight-Yield Bonds Through the First Half of 1991», Financial Analysts Journal, 47, no. 6 (November/December 1991), pp. 67-77. Bradford Cornell, «Liquidity and the Pricing of Low-Grade Bonds», Financial Analysts Journal, 48, no. 1 (January/February 1992), pp. 63-67, 74.
Edward L Altman, «Revisiting the Hight-Yield Bond Market», Financial Management, 21, no. 2 (Summer 1992), pp. 79-92.
6.Классическим исследованием спредов доходности является статья:
Lawrence Fisher, «Determinants of Risk Premiums on Coфorate Bonds», Journal of Political Economy, 67, no. 3 (June 1959), pp. 217-237.
7.Спреды доходности муниципальных облигаций обсуждаются в работе:
George Foster, Financial Statement Analysis {EngXeood Cliffs, NJ: Prentice Hall, 1986), pp. 510-511.
8.Предсказание банкротства являлось предметом многих исследований, см. указанные ниже работы и ссылки в них:
William Н. Beaver, «Financial Ratios as Predictors of Failure*, Empirical Research in Accounting. Selected Studies, 1966, приложение к Journal of Accounting Research, pp. 71-111.
William H. Beaver, «Market Prices, Financial Ratios and the Prediction of Failure», Journal of Accounting Research, 6, no. 2 (Autumn 1968), pp. 179-192.
Edward I. Altman, «Financial Ratios, Discriminant Analysis and the Prediction of Coфorate Bankruptcy*, Journal of Finance, 23, no. 4 (September 1968), pp. 589-609. Edward B. Deakin, «A Discriminant Analysis of Predictors of Business Failure», Journal of Accounting Research, 10, no. 1 (Spring 1972), pp. 167-179.
R. Charles Moyer, «Forecasting Financial Failure: A Re-examination», Financial Management, 6, no. 1 (Spring 1977), pp. 11 - 17.
Edward I. Altman, Robert G. Haldeman, and P. Narayanan, «Zeta Analysis: A New Model to Identify Bankruptcy Risk of Coфoгations», Journal of Banking and Finance, 1, no. 1 (June 1977), pp. 29-54.
James A. Ohlson, «Financial Ratios and the Probabilistic Prediction of Bankruptcy*, Journal of Accounting Research, 18, no. 1 (Spring 1980), pp. 109-131.
Joseph Aharony, Charles P. Jones, and Itzhak Swary, «An Analysis of Risk and Return Characteristics of Corporate Bankruptcy Using Capital Market Data*, Journal of Finance, 35, no. 4 (September 1980), pp. 1001-1016.
Ismael G. Dambolena and Sarkis J. Khouiy, «Ratio Stability and Софога1е Failure*, Journal of Finance, 35, no. 4 (September 1980), pp. 1017-1026.
Edward I. Alman, «The Success of Business Failure Prediction Models: An International
Survey*, Journal of Banking and Finance, 8, no. 2 (June 1984), pp. 171-198.
Cornelius J. Casey and Norman J. Bartczak, «Cash Flow-Its Not the Bottom Line*,
Halyard Business Review, 62, no. 4 (July-August 1984), pp. 61-66.
Cornelius Casey and Norman Bartczak, «Using Operating Cash Flow Data to Predict
Financial Distress: Some Extensions*, Journal of Accounting Research, 23, no. 1 (Spring
1985), pp. 384-401.
James А. Gentry, Paul Newbold, and David T. Wiiitford, -sClassifying Banicrupt Firms with Funds Flow Components*, Journal of Accounting Research, 23, no. 1 (Spring 1985), pp. 146-160.
James A. Gentry, Paul Newbold, and David T. Whitford, «Predicting Bankruptcy: If Cash Flows Not the Bottom Line, What Is?», Financial Analysts Journal, 41, no. 5 (September/ October 1985), pp. 47-56.
Maggie Queen and Richard Roll, «Firm Mortality: Using Market Indicators to Predict Survival*, Financial Analysts Journal, 43, no. 3 (May/June 1987), pp. 9-26. Ismael G. Dambolena and Joel M. Shulman, «A Primary Rule for Detecting Bankruptcy: Watch the Cash», Financial Analysts Journal, 44, no. 5 (September/October 1988), pp. 74-78.
James M. Gahlon and Robert L. Vigeland, «Early Warning Signs of Bankruptcy Using Cash Flow Analysis*, Journal of Commercial Bank Lending, 71, no. 4 (December 1988), pp. 4-15.
Abdul Aziz and Gerald H. Lawson, «Cash Flow Reporting and Financial Distress Models: Testing of Hypothesis*, Financial Management, 18, no. 1 (Spring 1989), pp. 55-63.