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Common Stock Returns and Rating Changes: A Methodological Comparison

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  • Griffin, Paul A
  • Sanvicente, Antonio Z
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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 37 (1982)
    Issue (Month): 1 (March)
    Pages: 103-19

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    Handle: RePEc:bla:jfinan:v:37:y:1982:i:1:p:103-19

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    Cited by:
    1. Louis H. Ederington & Jess B. Yawitz & Brian E. Roberts, 1984. "The Informational Content of Bond Ratings," NBER Working Papers 1323, National Bureau of Economic Research, Inc.
    2. Andrea Morone & Giovanni Ferri, 2008. "The Effect of Rating Agencies on Herd Behaviour," series 0022, Dipartimento di Scienze Economiche e Metodi Matematici - Università di Bari, revised Nov 2008.
    3. Galil, Koresh & Soffer, Gil, 2011. "Good news, bad news and rating announcements: An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3101-3119, November.
    4. Norden, Lars & Weber, Martin, 2004. "Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements," CEPR Discussion Papers 4250, C.E.P.R. Discussion Papers.
    5. Li, Huimin & Jeon, Bang Nam & Cho, Seong-Yeon & Chiang, Thomas C., 2008. "The impact of sovereign rating changes and financial contagion on stock market returns: Evidence from five Asian countries," Global Finance Journal, Elsevier, vol. 19(1), pages 46-55.
    6. Fernando Gonzalez & François Haas & Ronald Johannes & Mattias Persson & Liliana Toledo & Roberto Violi & Martin Wieland & Carmen Zins, 2004. "Market dynamics associated with credit ratings - a literature review," Occasional Paper Series 16, European Central Bank.
    7. Bissoondoyal-Bheenick, Emawtee, 2005. "An analysis of the determinants of sovereign ratings," Global Finance Journal, Elsevier, vol. 15(3), pages 251-280, February.
    8. Mirela Virgínia Perrella Scarabel & Mauro Rodrigues Júnior, 2011. "O Impacto De Mudanças De Rating Soberanosobre A Taxa De Câmbio Em Países Emergentes," Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting] 157, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
    9. Pilar Abad Romero & Mª Dolores Robles Fernández, 2003. "Contenido informativo de los cambios de Rating en el mercado de Valores Español," Documentos del Instituto Complutense de Análisis Económico 0304, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    10. Richard Followill & Terrence Martell, 1997. "Bond review and rating change announcements: An examination of informational value and market efficiency," Journal of Economics and Finance, Springer, vol. 21(2), pages 75-82, June.
    11. Gregory Noronha & Vijay Singal, 2004. "Financial health and airline safety," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 25(1), pages 1-16.
    12. Norden, Lars & Weber, Martin, 2004. "Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2813-2843, November.
    13. Perraudin, William & Taylor, Alex P., 2004. "On the consistency of ratings and bond market yields," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2769-2788, November.
    14. Brooks, Robert & Faff, Robert W. & Hillier, David & Hillier, Joseph, 2004. "The national market impact of sovereign rating changes," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 233-250, January.
    15. May, Anthony D., 2010. "The impact of bond rating changes on corporate bond prices: New evidence from the over-the-counter market," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2822-2836, November.
    16. Chan, Pak To & Edwards, Vic & Walter, Terry, 2009. "The information content of Australian credit ratings: A comparison between subscription and non-subscription-based credit rating agencies," Economic Systems, Elsevier, vol. 33(1), pages 22-44, March.

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