Biblioteca de la Universidad Complutense de Madrid

Credit rating agencies and unsystematic risk: Is there a linkage?


Abad Romero, Pilar y Robles Fernández, María Dolores (2012) Credit rating agencies and unsystematic risk: Is there a linkage? [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 17, 2012, ] (Presentado)

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


URL Oficial:


This study analyzes the effects of six different credit rating announcements on systematic and unsystematic risk in Spanish companies listed on the Electronic Continuous Stock Market from 1988 to 2010. We use an extension of the event study dummy approach that includes direct effects on beta risk and on volatility. We find effects in both kinds of risk, indicating that rating agencies provide information to the market. Rating actions that imply an improvement in credit quality cause lower systematic and unsystematic risk. Conversely, ratings announcements that imply credit quality deterioration cause a rebalance in both types of risk, with higher beta risk being joined with lower diversifiable risk. Although the event characteristics were not important to determine how the two types of risk reacted to rating actions, the 2007 economic and financial crises increase the market’s sensitivity to these characteristics.

Tipo de documento:Documento de trabajo o Informe técnico
Palabras clave:Credit rating agencies, Rating changes, Market model, GARCH, Stock Returns, Systematic risk, Unsystematic risk
Materias:Ciencias Sociales > Economía > Finanzas
Ciencias Sociales > Economía > Crisis económicas
Ciencias Sociales > Economía > Mercados bursátiles y financieros
Ciencias Sociales > Economía > Econometría
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Código ID:15809

Abad, P., Robles, M.D. (2007), “Bond rating changes and stock returns: evidence from the Spanish stock market”, Spanish Economic Review, 9, 79–103.

Abad, P., Robles, M.D. (2006), “Risk and returns around bond rating changes: new evidence from the Spanish stock market.” Journal of Business Finance & Accounting, 33(5) & (6), 885–908.

Altman, E. I., Rijken, H. A. (2007), “The added value of Rating Outlooks and Rating Reviews to corporate bond ratings”, Financial Management Association meeting, Barcelona.

Angelidis, T., Tessaromati, N. (2009), “Idiosyncratic risk matters! A regime switching approach.” International Review of Economics and Finance 18, 132–141.

Boot, A.W.A., Milbourn, T.T., Schmeits, A. (2006), “Credit Ratings as Coordination Mechanisms”, The Review of Financial Studies, 19 (1), 81–118.

Brooks, L.D., Ingram, R. W., Copeland, R. M. (1983), "Credit Risk, Beta, and Bond Ratings.” Nebraska Journal of Economics & Business, Winter83, 22, 1. P. 3.

Campbell, J., Lettau, M., Malkiel, B., Xu, Y. (2001), “Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk.” Journal of Finance, 56, 1-43.

Crouchy, M.G., Jarrow, R.A., Turnbull, S.M. (2008), “The Subprime Credit Crisis of 2007”, The Journal of derivatives, 4, 81–110.

Dichev, I. D., Piotroski, J. D. (2001), “The long-run stock returns following bond rating changes,” The Journal of Finance, 56 (1), 173-203.

European Parliament (2009), “European Parliament legislative resolution of 23 April 2009 on the proposal for a regulation of the European Parliament and of the Council on Credit Rating Agencies”, (COM(2008)0704 – C6-0397/2008 –


Goyal, A., Santa-Clara, P. (2003), “Idiosyncratic risk matters!.” Journal of Finance, 58, 975-2007.

Hilliard, J.E., Savikas, R. (2002), “On the statistical significance of event studies on unsystematic volatility.” Journal of Financial Research, 25, 447-462.

Impson, C.M., Karafiath, I., Glascock, J. (1992), “Testing Beta Stationarity across Bond Rating Changes,” The Financial Review, 27 (4), 607-618.

Jorion, P., Liu, Z., Shi, C. (2005), “Informational effects of regulation FD: evidence from rating agencies,” Journal of Financial Economics, 76(2), 309-330.

May, A. (2010), “The impact of bond rating changes on corporate bond prices: New evidence from the over-the-counter market,” Journal of Banking and Finance, 34, 2822-2836.

Sheskin, D. J. (1997), Handbook of Parametric and Nonparametric Statistical Procedures (CRC Press, Boca Raton).

U.S. SEC (2008), “Summary Report of Issues Identified in the Commission Staff’s Examinations of Select Credit Rating Agencies”, July.

Depositado:04 Jul 2012 12:06
Última Modificación:09 Ene 2014 11:45

Sólo personal del repositorio: página de control del artículo