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Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence



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Abad Romero, Pilar y Díaz, Antonio y Robles-Fernandez, M. D. (2011) Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico; nº 36, 2011, ]

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URL Oficial: http://eprints.ucm.es/13979/

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We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield spreads in both segments of the corporate debt market after reviews of downgrades and negative outlook reports. In addition, we find that certain rating announcements encourage trading activity even when the information is not pricing-relevant. The release of information arouses investor interest for the involved securities. Thus, trading frequency increases, although larger-sized transactions, which should denote possible portfolio rebalancing, are not observed. In the commercial paper note market, we also find that that trading volumes fade away after reviews for downgrade. Investors seem to prefer reducing the trading of these short-term securities to liquidating their positions.

Tipo de documento:Documento de trabajo o Informe técnico
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Jel Classification: G12, G14, C34.

Palabras clave:Credit rating agencies, Rating changes, Event study, Yields, Liquidity, Trading frequency, Corporate bond market, Commercial paper market.
Materias:Ciencias Sociales > Economía > Finanzas
Ciencias Sociales > Economía > Econometría
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico
Código ID:13979
Depositado:05 Dic 2011 08:59
Última Modificación:15 Nov 2013 10:49

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