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

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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)

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URL Oficial: http://eprints.ucm.es/15809/


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Resumen

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)
Volumen:2012
Número:17
Código ID:15809
Depositado:04 Jul 2012 12:06
Última Modificación:09 Ene 2014 11:45

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