Credit rating agencies and unsystematic risk: Is there a linkage?
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Keywords
Credit rating agencies; Rating changes; Market model; GARCH; Stock Returns; Systematic risk; Unsystematic The information provided by Fitch and Moody’s is appreciated. Any errors are solely the responsibility of the authors. This work has been funded by the Spanish Ministerio de Ciencia y Tecnología (ECO2009-10398/ECON and ECO2011-23959); Junta de Comunidades de Castilla-La Mancha (PCI08-0089) and Banco de Santander (UCM940063).;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
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2012-07-23 (Banking)
- NEP-RMG-2012-07-23 (Risk Management)
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