Rating Timing Differences between the two Leading Agencies:
AbstractThis study examines the impacts of rating change timing differences between the two leading agencies, namely, Standard and PoorÃ¢â‚¬â„¢s and MoodyÃ¢â‚¬â„¢s with particular focus on the stock market impact of Standard and PoorÃ¢â‚¬â„¢s Foreign Currency rating changes and MoodyÃ¢â‚¬â„¢s Bonds and Notes rating changes. The analysis focuses on whether there is a rating change pattern between these agencies and undertakes a comparison of the impact of rating changes on the markets between single rating changes and joint rating changes. The paper equally determines whether rating changes induce different reactions depending on the level of rating. The findings indicate that in contrast to the results obtained in previous literature, rating change announcements do not impart additional information to the market. An nteresting finding is that joint downgrades seem to impact on the market only in between the announcement dates for the two agencies. In addition, the reason of the rating change need to be taken into consideration to assess the stock market reaction to rating chan
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Australasian Meetings with number 61.
Date of creation: 11 Aug 2004
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Sovereign Rating Changes; Joint ratings; Event Study;
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