The price impact of rating announcements: evidence from the credit default swap market
Rating announcements affect spreads on credit default swaps. The impact is more pronounced for negative reviews and downgrades than for outlook changes.
Volume (Year): (2004)
Issue (Month): (June)
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- Katz, Steven, 1974. "The Price Adjustment Process of Bonds to Rating Reclassifications: A Test of Bond Market Efficiency," Journal of Finance, American Finance Association, vol. 29(2), pages 551-59, May.
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