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

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Abad Romero, Pilar and 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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Official URL: http://eprints.ucm.es/7882/




Abstract

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.


Item Type:Working Paper or Technical Report
Additional Information:

JEL classification G12, G14, C34

Uncontrolled Keywords:Credit rating agencies, Rating changes, Event study, Stock returns, Event study dummy approach, Systematic risk, SUR
Subjects:Social sciences > Economics > Econometrics
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2005
Number:0505
ID Code:7882
Deposited On:05 May 2008
Last Modified:06 Feb 2014 07:56

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