The (un)informative value of credit rating announcements in small markets

被引：10

作者：

Afik, Zvika ^{[1
]}

Feinstein, Itai ^{[2
]}

Galil, Koresh ^{[2
]}

机构：

[1] Ben Gurion Univ Negev, Dept Business Adm, Guilford Glazer Sch Business & Management, IL-84105 Beer Sheva, Israel

[2] Ben Gurion Univ Negev, Dept Econ, IL-84105 Beer Sheva, Israel

来源：

JOURNAL OF FINANCIAL STABILITY | 2014年 / 14卷

关键词：

Credit risk; Credit rating; Event study; STOCK-PRICES; DEFAULT SWAP; GOOD-NEWS; BAD-NEWS; BOND; AGENCIES; INFORMATION; ADJUSTMENT; EFFICIENCY; CYCLE;

D O I：

10.1016/j.jfs.2014.08.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This work examines the information value of local Israeli credit rating announcements. This matter is also important to other small markets, in which a debt issuer may take advantage of a "rating shopping" process or choose to avoid a rating procedure altogether, because the agencies do not carry out unsolicited rating. We analyze the bond and equity markets response to various rating announcements at different time periods. We find that except for downgrades in 2008-2009 the rating announcements have no information value. It seems that generally the market internalizes most of the information prior to the rating announcements. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：66 / 80

页数：15

共 50 条

[1] SOVEREIGN CREDIT RATING ANNOUNCEMENTS AND BALTIC STOCK MARKETS
Klimaviciene, Asta
[J]. ORGANIZATIONS AND MARKETS IN EMERGING ECONOMIES, 2011, 2 (01) : 51 - 62
[2] Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements
Norden, L
Weber, M
[J]. JOURNAL OF BANKING & FINANCE, 2004, 28 (11) : 2813 - 2843
[3] The informational content of credit rating announcements for share prices in a small market
Fayez A. Elayan
Wei Huei Hsu
Thomas O. Meyer
[J]. Journal of Economics and Finance, 2003, 27 (3) : 337 - 356
[4] Information flow and credit rating announcements
Khorram, Mehdi
Mo, Haitao
Sanger, Gary C.
[J]. JOURNAL OF FINANCIAL MARKETS, 2023, 65
[5] The impact of credit rating announcements on credit default swap spreads
Finnerty, John D.
Miller, Cameron D.
Chen, Ren-Raw
[J]. JOURNAL OF BANKING & FINANCE, 2013, 37 (06) : 2011 - 2030
[6] THE EMPIRICAL STUDY OF THE IMPACT OF CREDIT RATING AGENCIES ANNOUNCEMENTS ON THE BEHAVIOR OF STOCK MARKETS IN EUROPEAN COUNTRIES
Pruchnicka-Grabias, Izabela
[J]. INTERDISCIPLINARY MANAGEMENT RESEARCH XIII, 2017, 13 : 758 - 780
[7] Markets The Credit Rating Agencies
White, Lawrence J.
[J]. JOURNAL OF ECONOMIC PERSPECTIVES, 2010, 24 (02): : 211 - 226
[8] The impact of credit rating announcements on corporate CDS markets-Are intra-industry effects observable?
Wengner, Andreas
Burghof, Hans-Peter
Schneider, Johannes
[J]. JOURNAL OF ECONOMICS AND BUSINESS, 2015, 78 : 79 - 91
[9] Information effect of credit rating announcements in transition economies
Afik, Zvika
Zabolotnyuk, Yuriy
[J]. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2023, 89
[10] Sovereign rating announcements and the integration of African banking markets
He, Jianan
Schiereck, Dirk
[J]. JOURNAL OF RISK FINANCE, 2019, 20 (05) : 484 - 500

← 1 2 3 4 5 →