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Contenido informativo de los cambios de rating en el mercado de valores español

Abad Romero, Pilar and Robles Fernández, María Dolores (2003) Contenido informativo de los cambios de rating en el mercado de valores español. [Working Paper or Technical Report]


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En este trabajo se analiza el efecto de los cambios de rating de la deuda corporativa sobre los precios de las acciones. Este tema no ha sido analizado previamente en el mercado de valores español. Se analizan los cambios en la calificación del riesgo de la deuda otorgada por agencias
como Moody’s o Standard and Poor’s, entre otras. En un mercado eficiente, si los cambios de rating contienen información nueva se debería observar algún tipo de respuesta. La metodología utilizada es el estudio de eventos. La evidencia encontrada indica que los cambios de rating contienen información útil. Las bajadas de calificación causan rentabilidades anormales negativas y
significativas. Sorprendentemente, las subidas de calificación tienen el mismo efecto. Esto podría indicar que los inversores ven esas subidas como malas noticias, dado que esperaban que la subida en la calificación otorgada fuera mayor.

This work analyzes the effect of corporate bond rating rating changes over stock prices. This topic has not been analyzed before on the Spanish stock market. They are analyzed changes in the qualification of debt risk granted by agencies like Moody's or Standard and Poor's among others. On an efficient market, if these changes contain new information it should be observed some type of response. The used methodology is the event study. The evidence indicates that bond rating changes contain useful information. Rating downgrades cause significantly negative abnormal returns. Surprinsingly, the upgrades have the same effect. The investors can be interpreting these raises as bad news, if they were waiting for a better upgrade.

Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Cambio de rating, Estudio de eventos, Rating changes, Event study
Subjects:Social sciences > Economics > Stock exchanges
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
ID Code:7703

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Deposited On:10 Mar 2008
Last Modified:06 Feb 2014 07:55

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