Has the Global Financial Crisis Changed the Market Response to Credit Ratings? Evidence from an Emerging Market

被引：4
|
作者：
Krishnan, Kaveri [1 ]
Basu, Sankarshan [2 ]
Thampy, Ashok [2 ]
机构：
[1] Andhra Bank Sch Business Bldg, Indian Inst Management Visakhapatnam, Andhra Univ Campus, Visakhapatnam 530003, Andhra Pradesh, India
[2] Indian Inst Management Bangalore, Bannerghatta Rd, Bengaluru, India
来源：
JOURNAL OF EMERGING MARKET FINANCE | 2020年 / 19卷 / 01期
关键词：
Credit rating; global financial crisis; information content; emerging markets; STOCK RETURNS; DEFAULT SWAP; BOND YIELDS; IMPACT; ANNOUNCEMENTS; ADJUSTMENT; AGENCIES; PRICES; EVENT;
D O I：
10.1177/0972652719877472
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article analyses the differential market response to credit rating revisions in the pre- and post-global financial crisis (GFC) period using data from India. By reviewing the stock price reaction to the announcement of long-term rating changes during the period 1996-2015, the study finds evidence that the stock price reacted less to rating announcements after the GFC of 2008. However, the difference in the cumulative abnormal returns before the GFC and after the GFC is not statistically significant.
引用
收藏
页码：7 / 32
页数：26
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