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L'importance de la note initiale et du type de changement dans la mesure de l'impact de la notation financière (rating) sur le marché actions

Author

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  • Francois Lantin

    () (Centre de Recherche Magellan - Université Jean Moulin - Lyon III - Institut d'Administration des Entreprises (IAE) - Lyon)

Abstract

This article brings new lines of inquiry relating to the surplus informational announcements actually issued by the rating agencies for financial different players in the stock market. Thus, it offers a different and complementary perpspective to the previous studies focused primarily on a global analysis of events in a dual operating segmentation by type of downgrading by notes of the issuer prior to the announcement. The study is based on all the negative changes made by the three major agencies worldwide for 440 large european capitalization components major stock indexes national and sectoral over the period 1998-2006. Ultimately, 723 studies of events of 212 different companies were performed and the results and analysis have been validated by a dozen interviews. In addition to the affirmation of abnormal returns negative averages for the period [+1,-1] trading days around the date of the announcement, the research shows the slightest market anticipation for declines in perspective than for decreases notes. In addition, the class is more discriminating that the note itself and the lower the credit rating is less than A- the higher is the impact on the stock market. It is, with the last note of the investment grade BBB-, the two key thresholds of the rating scale. Finally, the magnitude of the reaction of creditwatch negative appears totally independent of the initial rating.

Suggested Citation

  • Francois Lantin, 2008. "L'importance de la note initiale et du type de changement dans la mesure de l'impact de la notation financière (rating) sur le marché actions," Post-Print halshs-00692578, HAL.
  • Handle: RePEc:hal:journl:halshs-00692578
    Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00692578
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    References listed on IDEAS

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    1. 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.
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    4. Holthausen, Robert W. & Leftwich, Richard W., 1986. "The effect of bond rating changes on common stock prices," Journal of Financial Economics, Elsevier, vol. 17(1), pages 57-89, September.
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    11. Ederington, Louis H. & Goh, Jeremy C., 1998. "Bond Rating Agencies and Stock Analysts: Who Knows What When?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(04), pages 569-585, December.
    12. Michael Spence, 1973. "Job Market Signaling," The Quarterly Journal of Economics, Oxford University Press, vol. 87(3), pages 355-374.
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