Using comprehensive data on U.S. corporate bond trades since 2002, we find evidence that retail bond investors overrely on untimely credit ratings to their financial detriment. Specifically, they appear to select bonds by first screening on a credit rating and then sorting by yield, buying the highest-yielding bonds within each rating level. Because yields lead credit rating changes, selecting on yield-within-rating means that retail investors systematically trade in the opposite direction of changing fundamentals, buy in advance of credit downgrades and defaults, and materially underperform a diversified portfolio. Our study provides new evidence of ill-informed retail trading in a market that is thought to be relatively sophisticated, corroborates regulators’ concerns about investor overreliance on credit ratings, and contributes to the academic literature on the roles and consequences of credit ratings in debt markets.

利用 2002 年以来美国公司债券交易的综合数据，我们发现有证据表明散户债券投资者过度依赖不合时宜的信用评级，从而导致了财务损失。具体来说，他们似乎通过首先筛选信用评级，然后按收益率排序来选择债券，购买每个评级级别内收益率最高的债券。由于收益率会导致信用评级发生变化，因此选择评级内收益率意味着散户投资者系统性地以与基本面变化相反的方向进行交易，在信用降级和违约之前买入，并且表现明显逊于多元化投资组合。我们的研究提供了新的证据，证明在一个被认为相对复杂的市场中存在信息不灵的零售交易，证实了监管机构对投资者过度依赖信用评级的担忧，