1. From: The World Price of Credit Risk
The figure presents the number of developed and emerging countries in our sample that have both rating and return data over January 1989 to December 2009.
From: The World Price of Credit Risk
Rev Asset Pric Stud. 2012;2(2): doi: /rapstu/ras012
Rev Asset Pric Stud | © The Author Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please

2. From: The World Price of Credit Risk
The figure presents the average numeric Standard & Poor’s sovereign credit rating across all countries, as well as across developed and emerging countries. The numeric rating is increasing in credit risk: 1 = AAA, 2 = AA+, 3 = AA, … , 20 = CC, 21 = C, 22 = D.
From: The World Price of Credit Risk
Rev Asset Pric Stud. 2012;2(2): doi: /rapstu/ras012
Rev Asset Pric Stud | © The Author Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please

3. From: The World Price of Credit Risk
Each month $t-1,$ all countries rated by Standard & Poor’s and with available equity market index returns are divided into terciles (C1 to C3) based on credit rating. Within each tercile, we compute the equally weighted average return for month $t.$ The figure presents the wealth process starting with [dollar]1 in January 1989 and investing in the worst- (C3) or best-rated (C1) tercile (first plot) or being short the best-rated and long the worst-rated tercile (second plot). The two plots in Panel (b) display the 36-month moving average (MA) monthly returns of C1 and C3 countries and their return differential C3 − C1.
From: The World Price of Credit Risk
Rev Asset Pric Stud. 2012;2(2): doi: /rapstu/ras012
Rev Asset Pric Stud | © The Author Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please

4. From: The World Price of Credit Risk
Each month $t-1,$ all countries rated by Standard & Poor’s and with available equity market index returns are divided into terciles (C1 to C3) based on credit rating. Within each tercile, we compute the equally weighted average return for month $t.$ The figure presents the wealth process starting with [dollar]1 in January 1989 and investing in the worst- (C3) or best-rated (C1) tercile (first plot) or being short the best-rated and long the worst-rated tercile (second plot). The two plots in Panel (b) display the 36-month moving average (MA) monthly returns of C1 and C3 countries and their return differential C3 − C1.
From: The World Price of Credit Risk
Rev Asset Pric Stud. 2012;2(2): doi: /rapstu/ras012
Rev Asset Pric Stud | © The Author Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please

5. From: The World Price of Credit Risk
Each month $t-1,$ all countries rated by Standard & Poor’s and with available equity market index returns are divided into terciles (C1 to C3) based on credit rating. Within each tercile, we find countries that have been downgraded (upper plot) or upgraded (lower plot) in month $t$ and compute their equally weighted average returns over each month from $t-36$ to $t+36.$ The figure presents the 6-month moving average of these average monthly portfolio returns for the best- (C1) and worst-rated (C3) terciles. Month $t=0$ is the month of downgrade (upgrade). The sample period is from January 1989 to December 2009.
From: The World Price of Credit Risk
Rev Asset Pric Stud. 2012;2(2): doi: /rapstu/ras012
Rev Asset Pric Stud | © The Author Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please