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

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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.

Keywords: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
Work type:Not categorized (r6)
Organization:EF - Faculty of Economics
Publisher:Bank for International Settlements, Monetary and Economic Dept.
Number of pages:15 str., [11] str.
Place:Basel (Switzerland)
COBISS.SI-ID:17678822 Link is opened in a new window
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