Complutense University Library

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. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0304, 2003, ]

[img]
Preview
PDF
341kB

Official URL: http://eprints.ucm.es/7703/

View download statistics for this eprint

==>>> Export to other formats

Abstract

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)
Volume:2003
Number:0304
ID Code:7703
References:

Brown, S. J. y Warner, J., 1985. "Using daily stock returns: the case of event studies". Journal of Financial Economics, 14, 3-31.

Cable, J. y Holand, K., 1999. “Regression vs. non-regression models of normal returns: Implications for event studies”. Economic Letters, 64, 81-85.

Campbell, J. Y., Lo, A. W. y McKinlay, A. C., 1997. The Econometrics of Financial Markets, Princeton University Press, New Jersey.

Cornell, B., Landsman, W. y Shapiro, A., 1989. “Cross-sectional regularities in the response of stock prices to bond rating changes”. Journal of Accounting, Auditing and Finance, 4, 460-479.

Corrado, C. J., 1989. “A nonparametric test for abnormal security-price performance in event studies”. Journal of Financial Economics, 23, 385-395.

Crouhy, M., Galai, D. y Mark, R., 2001. “Prototype risk rating system”. Journal of Banking and Finance. 25, 47-95.

Dombrow, J., Rodriguez, M. y Sirmans, C. F., 2000. “ A complete nonparametric event study approach”. Review od Cuantitative Finance and Accounting, 14, 361-380.

Ederington, L. H. y Yawitz, J. 1987. “The bond rating process”, en The Handbook of Financial Markets and Institutions. 6th ed. Editado por Altman, E. I., Willey, New

York.

Followill, R. A. y Martell, T., 1997. “Bond review and rating change announcements: an examination of informational value and market efficiency”. Journal of Economics and Finance, 21, 75-82.

Goh, J. C. y Ederington, L. H. 1993. “Is a bond rating downgrade good news, bad news or no news to stockholders?”. Journal of Finance, 48, 2001-2008.

Goh, J. C. y Ederington, L. H. 1999. “Cross-sectional variation in the stock market reaction to bond rating changes”. The Quarterly Review of Economics and Finance, 39, 101-112.

Griffin, P. y Sanvicente, A. 1982. “Common stock returns and rating changes: a methodological comparison”. Journal of Finance, 37, 103-119.

Hand, J. R. M., Holthausen, R. W. y Leftwith, R. W. 1992. “The effect of bond rating agency announcements on bond and stock prices”. The Journal of Finance, 47, 733-752.

Holthausen, R. W. y Leftwith, R. W. 1986. “The effect of bond rating changes on common stock prices”. Journal of Financial Economics, 17, 57-89.

Impson, C. M., Karafiath, I. y Glascock, J. 1992. “Testing beta stationarity across bond rating changes”. The Financial Review, 27, 607-618.

Lyon, J. D., Barber, B. y Tsai, C. 1999. “Improved methods of Long-rung abnormal stock returns”. The Journal of Finance, 54, 165-201.

Maynes, E. y Rumsey, J., 1993. “Conducting event studies with thinly traded stock”. Journal of Banking and Finance 17, 145-157.

Nayar, N. y Rozeff, M. S. 1994. “Rating, comercial paper and equity returns”. The Journal of Finance, 49, 1431-1449.

Seiler, M. J. 2000. “The efficacy of event study methodologies: Measuring ereit abnormal performance under conditions of induced variance”. Journal of Financial and

Strategic Decisions, 13, 101-112.

Talwar, P.P., 1993. “A simulation study of some nonparametric regression estimator”. Computational Statistics and Data Analysis, 25, 309-327.

Theil, H., 1950. “A rank invariant method of linear and polynomial regression analysis”. Nederl. Akad. Wektensch Proc. 53, 1897-1912.

Wansley, J. y Clauretie, T. M. 1985. “The impact of credit watch placement on equity returns and bond prices” Journal of Financial Research, 8, 31-42.

Wakeman, L. M. 1990. “The real function of bond rating agencies”, en The Modern Theory of Corporate Finance, 2nd ed. Editado por Smith, C. McGaw Hill, New York.

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

Repository Staff Only: item control page