Market responses to S&P exclusions: Evidence from the 2010-2019 period

This study investigates the impact of S&P downgrades and deletions on the cumulative abnormal returns (CARs) of affected firms. The results show that the market does not view a company's downgrade as a negative event in the short term, and even perceives it as a positive event in the long-term. In addition, the significant negative impacts on the event day for deletion firms are fully reversed within 20 days. Our study shows that the short-term CARs are dependent on whether it is a downgrading or deletion event, market volatility, and the duration of the company's listing on the S&P. Interestingly, these factors do not exhibit any significant correlations with the long-term CARs.