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Contenido informativo de los cambios de Rating en el mercado de Valores Español

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Abstract

This work analyzes the effect of corporate bond rating rating changes over stock prices. This topic has not been analyzed before on the Spanish stock market. They are analyzed changes in the qualification of debt risk granted by agencies like Moody's or Standard and Poor's among others. On an efficient market, if these changes contain new information it should be observed some type of response. The used methodology is the event study. The evidence indicates that bond rating changes contain useful information. Rating downgrades cause significantly negative abnormal returns. Surprinsingly, the upgrades have the same effect. The investors can be interpreting these raises as bad news, if they were waiting for a better upgrade.

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  • 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.
    • Handle: RePEc:ucm:doicae:0304
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    Keywords

    Cambio de rating; Estudio de eventos; Rating changes; Event study.;
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