Biblioteca de la Universidad Complutense de Madrid

Determinants of trading activity after rating actions in the Corporate Debt Market

Impacto



Abad Romero, Pilar y Diaz, Antonio y Robles-Fernandez, M. Dolores (2011) Determinants of trading activity after rating actions in the Corporate Debt Market. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico; nº 37, 2011, ] (No publicado)

[img] PDF
Creative Commons License
Esta obra está bajo una licencia de Creative Commons: Reconocimiento - No comercial.

155kB

URL Oficial: http://eprints.ucm.es/13980/




Resumen

The influence of rating announcements on corporate debt market trading has been previously overlooked. Based on an event study, we examine the effects of the three types of announcements provided by credit rating agencies on abnormal trading volume and trading frequency in the Spanish corporate debt market. Additionally, by means of cross-section regressions, we establish what factors determine the sign and intensity of the trading reactions. The presented results indicate that factors related to the characteristics of the rating announcement, the issuing company and the economic environment are relevant in light of several hypotheses.


Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

JEL Classification: G12, G14, C34.

Palabras clave:Rating agencies, Rating announcementes, Trading volume, Trading frequency
Materias:Ciencias Sociales > Economía > Finanzas
Ciencias Sociales > Economía > Econometría
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico
Volumen:2011
Número:37
Código ID:13980
Depositado:05 Dic 2011 09:32
Última Modificación:15 Nov 2013 10:49

Sólo personal del repositorio: página de control del artículo