Contenido informativo de los cambios de Rating en el mercado de Valores Español
This work analyzes the effect of corporate bond rating rating changes over stock prices. This topic has not been analyzed before on the Spanish stock market. They are analyzed changes in the qualification of debt risk granted by agencies like Moody's or Standard and Poor's among others. On an efficient market, if these changes contain new information it should be observed some type of response. The used methodology is the event study. The evidence indicates that bond rating changes contain useful information. Rating downgrades cause significantly negative abnormal returns. Surprinsingly, the upgrades have the same effect. The investors can be interpreting these raises as bad news, if they were waiting for a better upgrade.
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- 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.
- John D. Lyon & Brad M. Barber & Chih-Ling Tsai, 1999. "Improved Methods for Tests of Long-Run Abnormal Stock Returns," Journal of Finance, American Finance Association, vol. 54(1), pages 165-201, 02.
- Cable, John & Holland, Kevin, 1999. "Regression vs. non-regression models of normal returns: implications for event studies," Economics Letters, Elsevier, vol. 64(1), pages 81-85, July.
- Richard Followill & Terrence Martell, 1997. "Bond review and rating change announcements: An examination of informational value and market efficiency," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(2), pages 75-82, June.
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