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

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  • Pilar Abad-Romero

    ()

  • M. Robles-Fernández

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10108-006-9020-0
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Bibliographic Info

Article provided by Springer in its journal Spanish Economic Review.

Volume (Year): 9 (2007)
Issue (Month): 2 (June)
Pages: 79-103

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Handle: RePEc:spr:specre:v:9:y:2007:i:2:p:79-103

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Postal: Universidad del País Vasco; DFAE II; Avenida Lehendakari Aguirre, 83; 48015 Bilbao; Spain
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Related research

Keywords: Credit rating agencies; Rating changes; Event study; Stock returns; Nonparametric methods; G12; G14; C34;

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References

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  1. 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.
  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 607-18, November.
  4. 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 733-52, June.
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Cited by:
  1. 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.
  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. 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.
  4. 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.

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