Document Type
Article
Abstract
This study investigates whether a change in credit ratings lead to a change in dailyexcess stock returns. The sample includes daily stock price data for US firms listedon the Standard & Poor’s 500 from January 2006 to December 2015. Firms’ excessstock returns are compared with the market in a 14-day window around credit ratingdowngrades and upgrades. Our results are asymmetric, that is, there is a significantreaction to credit ratings downgrades but not to upgrades. In addition, we report weakevidence of upgrades in credit ratings since the 2008 global credit crisis leading tosignificant changes in security prices.
Recommended Citation
Reddy, Krishna; Bosman, Rudi; and Mirza, Nawazish
(2019)
"IMPACT OF CREDIT RATINGS ON STOCK RETURNS,"
Bulletin of Monetary Economics and Banking: Vol. 21:
No.
3, Article 7.
DOI: https://doi.org/10.21098/bemp.v21i3.986
Available at:
https://bulletin.bmeb-bi.org/bmeb/vol21/iss3/7
First Page
343
Last Page
366
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License
Country
New Zealand
Affiliation
Toi Ohomai Institute of Technology
