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

Abad Romero, Pilar and Diaz, Antonio and Robles-Fernandez, M. Dolores (2011) Determinants of trading activity after rating actions in the Corporate Debt Market. [Working Paper or Technical Report] (Unpublished)

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Abstract

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.

Item Type:Working Paper or Technical Report
Additional Information:JEL Classification: G12, G14, C34.
Uncontrolled Keywords:Rating agencies, Rating announcementes, Trading volume, Trading frequency
Subjects:Social sciences > Economics > Finance
Social sciences > Economics > Econometrics
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico
Volume:2011
Number:37
ID Code:13980
Deposited On:05 Dec 2011 09:32
Last Modified:15 Nov 2013 10:49

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