Moody’s credit ratings and the stock market performance of Portuguese rated firms
AbstractNever has the issue of sovereign credit ratings attracted such an interest by policy and opinion makers, bankers and journalists, or even the public opinion, as witnessed in the last couple of years. In spite of being accused of contributing to the instability of financial markets, credit rating agencies have undoubtedly a role in financial markets, affecting its performance and guiding investor’s decisions. This paper analyzes the impact of the announcement of changes in Moody’s ratings over the performance of a set of rated firms quoted in the Portuguese stock market. Following an event study methodology, we collect ratings and outlook announcements by that major credit agency over the period 2006-2011. We find a significant response of share prices to changes in ratings, with that response anticipating the announcement. We think that could be explained by previous sovereign rating changes or to the contagion effects of a bearish market. When analyzing the period after January 2010, we observe a stronger reaction to announcements, which is understandable given the greater influence and market sensitivity to rating agencies.
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Bibliographic InfoPaper provided by Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE) in its series Working Papers with number 22/2011.
Length: 23 pages
Date of creation: 12 Dec 2011
Date of revision:
Contact details of provider:
Postal: Universidade Portucalense – Economics and Management Department (CIGE – Centro de Investigação em Gestão e Economia), Rua Dr. António Bernardino de Almeida, 541-619, 4200 – 072 Porto, Portugal
Web page: http://www.uportu.pt/site-scripts/centro_pagina.asp?codmenu=71&codcentro=24
More information through EDIRC
Credit Rating Agencies; Event Studies; Stock Market; Moody’s; Sovereign Debt Crisis; Portugal;
Other versions of this item:
- Luís Pacheco, 2012. "Moody’S Credit Ratings And The Stock Market Performance Of Portuguese Rated Firms," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 0(1), pages 68-83, June.
- Pacheco, Luís, 2011. "Moody’s credit ratings and the stock market performance of Portuguese rated firms," MPRA Paper 36551, University Library of Munich, Germany.
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-19 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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