RT Report
T1 Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
A1 Abad Romero, Pilar
A1 Díaz, Antonio
A1 Robles Fernández, María Dolores
AB We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield spreads in both segments of the corporate debt market after reviews of downgrades and negative outlook reports. In addition, we find that certain rating announcements encourage trading activity even when the information is not pricing-relevant. The release of information arouses investor interest for the involved securities. Thus, trading frequency increases, although larger-sized transactions, which should denote possible portfolio rebalancing, are not observed. In the commercial paper note market, we also find that that trading volumes fade away after reviews for downgrade. Investors seem to prefer reducing the trading of these short-term securities to liquidating their positions.
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2011
FD 2011
LK https://hdl.handle.net/20.500.14352/49040
UL https://hdl.handle.net/20.500.14352/49040
LA eng
NO Jel Classification: G12, G14, C34.
DS Docta Complutense
RD 9 abr 2025