Publication: Risk and returns around bond rating changes: New evidence from the Spanish Stock Market
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2005
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Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
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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.
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