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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- 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 551-59, May.
- Richard Cantor & Frank Packer & Kevin Cole, 1997. "Split ratings and the pricing of credit risk," Research Paper 9711, Federal Reserve Bank of New York.
- Doron Kliger & Oded Sarig, 2000.
"The Information Value of Bond Ratings,"
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American Finance Association, vol. 55(6), pages 2879-2902, December.
- Doron Kliger & Oded Sarig, . "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 733-52, June.
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