Stock market reaction to credit rating changes: new evidence*

被引：3

作者：

Amin, Abu S. ^{[1
]}

Jain, Pawan ^{[2
]}

Malik, Mahfuja ^{[3
]}

机构：

[1] Cent Michigan Univ, Dept Finance & Law, Month Pleasant, MI USA

[2] Univ Wyoming, Coll Business, Laramie, WY 82071 USA

[3] Sacred Heart Univ, Dept Accounting & Informat Syst, Fairfield, CT USA

来源：

ASIA-PACIFIC JOURNAL OF ACCOUNTING & ECONOMICS | 2020年 / 27卷 / 06期

关键词：

Credit rating; information asymmetry; cumulative abnormal return; event study; DEFAULT SWAP; CROSS-SECTION; BOND MARKETS; CO-MOVEMENT; EVENT; INFORMATION; RETURNS; ANNOUNCEMENTS;

D O I：

10.1080/16081625.2018.1481756

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study shows how stock market reacts to rating change announcements where confounding effects of information spillover from related markets are absent. Contrary to existing literature, we find that the stock market reacts positively to a rating upgrade and no response to downgrade. Our analysis shows that pre-announcement cumulative abnormal returns can significantly predict announcement period abnormal return. Finally, we document a significant reduction in information asymmetry due to rating upgrade announcements affirming the recent policy initiatives.

引用

页码：667 / 684

页数：18

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