Biblioteca de la Universidad Complutense de Madrid

Risk and returns around bond rating changes: New evidence from the Spanish Stock Market

Impacto



Abad Romero, Pilar y Robles Fernández, María Dolores (2005) Risk and returns around bond rating changes: New evidence from the Spanish Stock Market. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0505, 2005, ]

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URL Oficial: http://eprints.ucm.es/7882/




Resumen

This study analyzes the effect of corporate bond rating changes over stock prices. We explore the effects over excess of returns and systematic risk. Rating changes by Moody´s, Standard and Poor´sor FitchIBCA are analyzed. On an efficient market, these changes will omly have some effect if they contain some new information or if they are associated to a redistribution of dummy approach. Our results indicate that rating downgrades do not cause abnormal returns around the date of the announcement while upgrades cause significantly negative effect.


Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

JEL classification G12, G14, C34

Palabras clave:Credit rating agencies, Rating changes, Event study, Stock returns, Event study dummy approach, Systematic risk, SUR
Materias:Ciencias Sociales > Economía > Econometría
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2005
Número:0505
Código ID:7882
Depositado:05 May 2008
Última Modificación:06 Feb 2014 07:56

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