The authors investigate the impact of split ratings on bond yields. They show that when bonds are split rated by Moody’s Investors Service and Standard & Poor’s Corporation, both ratings affect the yield. They also find that the best results, in terms of bias and forecast efficiency, are obtained when yield spreads are based on the average of the two ratings. These results hold regardless of the extent of rating differential between the two agencies.
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Cantor et al. (1997) studied this question.