沃顿 高级公司理财学Bndrat09.pptVIP

Finance 203: Notes on Bond Ratings * Bond Rating Determinants Interest coverage SP consider five ratios Profitability SP uses two ratios pretax return on capital operating margin operating income to sales Finance 203: Notes on Bond Ratings * Bond Rating Determinants Leverage SP uses two ratio LT debt to assets Total debt to assets Size measure of maturity? more diversified? Finance 203: Notes on Bond Ratings * Bond Rating Determinants Risk measures equity beta equity volatility cash flow variability Finance 203: Notes on Bond Ratings * Coverage Ratios Pretax interest coverage EBIT/interest Pretax interest coverage including rents EBIT/interest+rents Pretax funds flow interest coverage Cash flow from operations/interest Finance 203: Notes on Bond Ratings * Coverage Ratios Funds from operations to total debt Cash flow from operations/total debt Free operating Cash flow to total debt UFCF/total debt Finance 203: Notes on Bond Ratings * Blume, MacKinlay study “The Declining Credit Quality of US Corporate Debt, Myth or Reality,” Journal of Finance, 1998. Related bond rating to interest coverage pretax interest coverage operating coverage size Finance 203: Notes on Bond Ratings * Blume, MacKinlay study Two leverage measures LT debt to Value Debt to value Size log of ratio of equity market cap to CPI beta volatility standard error Finance 203: Notes on Bond Ratings * Blume, MacKinlay study Results Most important variables are LT debt to value and size Second most important is interest coverage, if interest cover is low Third most important is volatility Finance 203: Notes on Bond Ratings * Blume, MacKinlay study fourth most important is the operating margin fifth most important is beta Finance 203: Notes on Bond Ratings * Blume, MacKinlay study Conclusion: credit rating criteria are being applied more stringently over time same quality of credit as measured by the variables is receiving a lower rating intercept term in regression is declining Kihlstrom Fin 203