... (1991), Blume and Keim (1991), Jonsson and Fridson (1996), McDonald and Van de Gucht (1999), Hillegeist, Keating, Cram, and Lundstedt (2004), Chava and Jarrow (2004), and Vassalou and Xing (2004).20is ... assume a linear relationship19 and include rating …xed e¤ects (columns (1) and (2)), rating and year …xed e¤ects (c olumns (3) and (4)), and …rm …xed e¤ects (columns (5) and (6)). For each set of ... groups.17 Credit ratings and credit riskJens Hilscherhilscher@brandeis.eduMungo Wilsonymungo.wilson@sbs.ox.ac.ukThis version: January 2012International Business School, Brandeis University,...