IDEAS home Printed from https://ideas.repec.org/a/spr/specre/v9y2007i2p79-103.html
   My bibliography  Save this article

Bond rating changes and stock returns: evidence from the Spanish stock market

Author

Listed:
  • Pilar Abad-Romero
  • M. Robles-Fernández

Abstract

No abstract is available for this item.

Suggested Citation

  • Pilar Abad-Romero & M. Robles-Fernández, 2007. "Bond rating changes and stock returns: evidence from the Spanish stock market," Spanish Economic Review, Springer;Spanish Economic Association, vol. 9(2), pages 79-103, June.
    • Handle: RePEc:spr:specre:v:9:y:2007:i:2:p:79-103
    DOI: 10.1007/s10108-006-9020-0
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10108-006-9020-0
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10108-006-9020-0?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Hand, John R M & Holthausen, Robert W & Leftwich, Richard W, 1992. "The Effect of Bond Rating Agency Announcements on Bond and Stock Prices," Journal of Finance, American Finance Association, vol. 47(2), pages 733-752, June.
    2. Crouhy, Michel & Galai, Dan & Mark, Robert, 2001. "Prototype risk rating system," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 47-95, January.
    3. Impson, C Michael & Karafiath, Imre & Glascock, John L, 1992. "Testing Beta Stationarity across Bond Rating Changes," The Financial Review, Eastern Finance Association, vol. 27(4), pages 607-618, November.
    4. James W. Wansley & Terrence M. Clauretie, 1985. "The Impact Of Creditwatch Placement On Equity Returns And Bond Prices," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 31-42, March.
    5. M.J. Barron & A.D. Clare & S.H. Thomas, 1997. "The Effect of Bond Rating Changes and New Ratings on UK Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(3), pages 497-509.
    6. Cable, John & Holland, Kevin, 1999. "Regression vs. non-regression models of normal returns: implications for event studies," Economics Letters, Elsevier, vol. 64(1), pages 81-85, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Pilar Abad & M. Dolores Robles, 2015. "The Risk–Return Binomial After Rating Changes," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 44(2), pages 249-274, July.
    2. Rosemarie Bröker Bone & Eduardo P Ribeiro, 2013. "Informational content of corporate ratings in a developing country: the case of Brazilian firms," Economics Bulletin, AccessEcon, vol. 33(1), pages 35-45.
    3. Paula Hill & Robert Faff, 2010. "The Market Impact of Relative Agency Activity in the Sovereign Ratings Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(9‐10), pages 1309-1347, November.
    4. Pilar Abad Romero & María Dolores Robles Fernández, 2012. "Credit rating agencies and unsystematic risk: Is there a linkage?," Documentos de Trabajo del ICAE 2012-17, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    5. Abad, Pilar & Robles, M. Dolores, 2014. "Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 152-171.
    6. Alexander B. Matthies, 2013. "Empirical Research on Corporate Credit-Ratings: A Literature Review," SFB 649 Discussion Papers SFB649DP2013-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    7. María Concepción Verona Martel & José Juan Déniz Mayor, 2011. "Las agencias de rating y la crisis fi nanciera de 2008: ¿El fi n de un poder sin control?," Revista Criterio Libre, Universidad Libre - Sede Principal, June.
    8. Peña Cerezo, Miguel Ángel & Rodríguez Castellanos, Arturo & Ibáñez Hernández, Francisco Jaime, 2015. "Does rating shopping exist in spanish securitization issues?," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
    9. Abad, Pilar & Ferreras, Rodrigo & Robles, M-Dolores, 2019. "Informational role of rating revisions after reputational events and regulation reforms," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 91-103.
    10. Pilar Abad & M. Dolores Robles & Gare Cuervo, 2013. "Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market," Documentos de Trabajo del ICAE 2013-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    11. Joseba Luzarraga-Goitia & Marta Regúlez-Castillo & Arturo Rodríguez-Castellanos, 2021. "The dynamics between the stock market and exchange rates: Spain 1999–2015," The European Journal of Finance, Taylor & Francis Journals, vol. 27(7), pages 655-678, May.
    12. Díaz, Antonio & Jareño, Francisco, 2009. "Explanatory factors of the inflation news impact on stock returns by sector: The Spanish case," Research in International Business and Finance, Elsevier, vol. 23(3), pages 349-368, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Pilar Abad Romero & Mª Dolores Robles Fernández, 2003. "Contenido informativo de los cambios de Rating en el mercado de Valores Español," Documentos de Trabajo del ICAE 0304, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    2. Pilar Abad Romero & M. Dolores Robles Fernández, 2005. "Risk and returns around bond rating changes: New evidence from the Spanish Stock Market," Documentos de Trabajo del ICAE 0505, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    3. 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.
    4. Pilar Abad‐Romero & M. Dolores Robles‐Fernandez, 2006. "Risk and Return Around Bond Rating Changes: New Evidence From the Spanish Stock Market," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(5‐6), pages 885-908, June.
    5. Gaurav Dawar & Shivangi Bhatia & Jai Parkash Bindal, 2023. "Does Credit Rating Revisions Affect the Price of Common Stock: A Study of Indian Capital Market," Business Perspectives and Research, , vol. 11(2), pages 190-209, May.
    6. Yuriy Zabolotnyuk, 2018. "Wealth Effects of Bond Rating Announcements," Multinational Finance Journal, Multinational Finance Journal, vol. 22(3-4), pages 211-254, September.
    7. Kaveri Krishnan & Sankarshan Basu & Ashok Thampy, 2020. "Has the Global Financial Crisis Changed the Market Response to Credit Ratings? Evidence from an Emerging Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 19(1), pages 7-32, April.
    8. Abad, Pilar & Robles, M. Dolores, 2014. "Credit rating agencies and idiosyncratic risk: Is there a linkage? Evidence from the Spanish Market," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 152-171.
    9. Mengyao Kang, 2022. "Credit rating downgrade risk and acquisition decisions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 49(5-6), pages 1011-1073, May.
    10. Götze, Tobias & Gürtler, Marc, 2020. "Hard markets, hard times: On the inefficiency of the CAT bond market," Journal of Corporate Finance, Elsevier, vol. 62(C).
    11. Maxime Merli & Alain Schatt, 2007. "Are there contagion or competition effects for non rated firms?The case of successive bond rating downgrades of Alcatel," Working Papers CREGO 1070603, Université de Bourgogne - CREGO EA7317 Centre de recherches en gestion des organisations.
    12. Abdelkader Boudriga & Dorsaf Azouz Ghachem, 2016. "Does US stock market react differently to rating announcements during crisis period? The case of the 2008 worldwide financial crisis," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(3/4), pages 193-214.
    13. Dorsaf Azouz Ghachem & Abdelkader Boudriga & Chokri Mamoghli, 2011. "Does The American Stock Market React Differently to Rating Announcements During A Crisis Period? The Case of the 2008 Worldwide Financial Crisis," Working Papers 601, Economic Research Forum, revised 07 Jan 2011.
    14. Bissoondoyal-Bheenick, Emawtee, 2005. "An analysis of the determinants of sovereign ratings," Global Finance Journal, Elsevier, vol. 15(3), pages 251-280, February.
    15. Lu s Pacheco, 2012. "Moody S Credit Ratings And The Stock Market Performance Of Portuguese Rated Firms," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 3(1), pages 58-83.
    16. Ting-Kai Chou, 2013. "Information content of credit ratings in pricing of future earnings," Review of Quantitative Finance and Accounting, Springer, vol. 40(2), pages 217-250, February.
    17. María Concepción Verona Martel & José Juan Déniz Mayor, 2011. "Las agencias de rating y la crisis fi nanciera de 2008: ¿El fi n de un poder sin control?," Revista Criterio Libre, Universidad Libre - Sede Principal, June.
    18. Giovanni Ferri & Andrea Morone, 2014. "The effect of rating agencies on herd behaviour," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 9(1), pages 107-127, April.
    19. 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.
    20. Bannier, Christina E. & Hirsch, Christian W., 2010. "The economic function of credit rating agencies - What does the watchlist tell us?," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 3037-3049, December.

    More about this item

    Keywords

    Credit rating agencies; Rating changes; Event study; Stock returns; Nonparametric methods; G12; G14; C34;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C34 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Truncated and Censored Models; Switching Regression Models

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:specre:v:9:y:2007:i:2:p:79-103. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.