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The price impact of rating announcements : which announcements matter?
Micu, Marian (Avtor), Remolona, Eli M. (Avtor), Wooldridge, Philip D. (Avtor)

URLURL - Predstavitvena datoteka, za dostop obiščite http://www.bis.org/publ/work207.pdf Novo okno

Izvleček
Credit rating agencies make multiple announcements, some of which are intended to reflect the latest information available about a firm and others of which are intended to provide a stable signal of credit quality. Using data on CDS spreads, we examine which of these different types of rating announcements contains pricingrelevant information. We find that all types, including changes in outlook, have a significant impact on CDS spreads. Even rating announcements preceded by similar announcements have an impact. The price impact is greatest for firms with split ratings, smallcap firms and firms rated near the threshold of investment grade.

Jezik:Angleški jezik
Ključne besede:podjetje, boniteta, kreditna sposobnost, ocene, informacije, investicije, trg, preizkušanje domnev, raziskave, analiza, kalkulacije, ekonometrija, enterprises, reliability, credit rating, evaluation, information, investments, market, hypotheses testing, research, analysis, calculations, econometrics
Vrsta gradiva:Delo ni kategorizirano (r6)
Organizacija:EF - Ekonomska fakulteta
Leto izida:2006
Založnik:Bank for International Settlements, Monetary and Economic Dept.
Št. strani:15 str., [11] str.
Kraj:Basel (Switzerland)
UDK:330.4
COBISS.SI-ID:17678822 Povezava se odpre v novem oknu
Število ogledov:331
Število prenosov:113
Metapodatki:XML RDF-CHPDL DC-XML DC-RDF
 
Skupna ocena:(0 glasov)
Vaša ocena:Ocenjevanje je dovoljeno samo prijavljenim uporabnikom.
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