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dc.contributor.author
Fernández Bariviera, Aurelio  
dc.contributor.author
Zunino, Luciano José  
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Guercio, María Belén  
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Martinez, Lisana Belén  
dc.contributor.author
Rosso, Osvaldo Anibal  
dc.date.available
2015-09-18T18:44:05Z  
dc.date.issued
2013-08-21  
dc.identifier.citation
Fernández Bariviera, Aurelio; Zunino, Luciano José; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Anibal; Efficiency and credit ratings: A permutation-information-theory analysis; IOP Publishing; Journal of Statistical Mechanics: Theory and Experiment; 2013; 8; 21-8-2013; 1-23  
dc.identifier.issn
1742-5468  
dc.identifier.uri
http://hdl.handle.net/11336/2007  
dc.description.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.  
dc.format
application/pdf  
dc.language.iso
eng  
dc.publisher
IOP Publishing  
dc.rights
info:eu-repo/semantics/openAccess  
dc.rights.uri
https://creativecommons.org/licenses/by/2.5/ar/  
dc.subject
MODELS OF FINANCIAL MARKETS  
dc.subject
NONLINEAR DYNAMICS  
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RISK MEASURE AND MANAGEMENT  
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STOCHASTIC PROCESSES  
dc.subject.classification
Economía, Econometría  
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Economía y Negocios  
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CIENCIAS SOCIALES  
dc.title
Efficiency and credit ratings: A permutation-information-theory analysis  
dc.type
info:eu-repo/semantics/article  
dc.type
info:ar-repo/semantics/artículo  
dc.type
info:eu-repo/semantics/publishedVersion  
dc.date.updated
2016-03-30 10:35:44.97925-03  
dc.journal.volume
2013  
dc.journal.number
8  
dc.journal.pagination
1-23  
dc.journal.pais
Reino Unido  
dc.journal.ciudad
Londres  
dc.conicet.avisoEditorial
© 2013 IOP Publishing Ltd and SISSA Medialab srl  
dc.description.fil
Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España; . Universidad de Buenos Aires. Facultad de Ingeniería. Departamento de Computación. Laboratorio de Sistemas Complejos; Argentina  
dc.description.fil
Fil: Zunino, Luciano José. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico - CONICET - La Plata. Centro de Investigaciones Opticas (i); Argentina. Universidad Nacional de la Plata. Facultad de Ingeniería. Departamento de Ciencias Básicas; Argentina  
dc.description.fil
Fil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico - CONICET - Bahia Blanca. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Universidad Nacional del Sur; Argentina  
dc.description.fil
Fil: Martinez, Lisana Belén. Universitat Rovira I Virgili; España; . Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico - CONICET - Bahia Blanca. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina  
dc.description.fil
Fil: Rosso, Osvaldo Anibal. Universidad de Buenos Aires. Facultad de Ingeniería. Departamento de Computación. Laboratorio de Sistemas Complejos; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico - CONICET - Bahia Blanca; Argentina. Universidade Federal de Alagoas; Brasil;  
dc.journal.title
Journal of Statistical Mechanics: Theory and Experiment  
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1088/1742-5468/2013/08/P08007  
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info:eu-repo/semantics/altIdentifier/url/http://arxiv.org/abs/1509.01839  
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info:eu-repo/semantics/altIdentifier/url/http://iopscience.iop.org/article/10.1088/1742-5468/2013/08/P08007