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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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.:
- Doron Kliger & Oded Sarig, "undated".
"The Information Value of Bond Ratings,"
Rodney L. White Center for Financial Research Working Papers
13-97, Wharton School Rodney L. White Center for Financial Research.
- Hand, John R M & Holthausen, Robert W & Leftwich, Richard W, 1992. " The Effect of Bond Rating Agency Announcements on Bond and Stock Prices," Journal of Finance, American Finance Association, vol. 47(2), pages 733-752, June.
- Griffin, Paul A & Sanvicente, Antonio Z, 1982. " Common Stock Returns and Rating Changes: A Methodological Comparison," Journal of Finance, American Finance Association, vol. 37(1), pages 103-119, March.
- Richard Cantor & Frank Packer & Kevin Cole, 1997. "Split ratings and the pricing of credit risk," Research Paper 9711, Federal Reserve Bank of New York.
- Pinches, George E & Singleton, J Clay, 1978. "The Adjustment of Stock Prices to Bond Rating Changes," Journal of Finance, American Finance Association, vol. 33(1), pages 29-44, March.
- 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 551-559, May.
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