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The price impact of rating announcements: evidence from the credit default swap market

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Author Info
Marian Micu
Eli M Remolona
Philip D Wooldridge
Abstract

Rating announcements affect spreads on credit default swaps. The impact is more pronounced for negative reviews and downgrades than for outlook changes.

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Publisher Info
Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2004)
Issue (Month): (June)
Pages:
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Handle: RePEc:bis:bisqtr:0406e

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Find related papers by JEL classification:
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies

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This page was last updated on 2008-4-29.

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