RT Report
T1 Credit rating agencies and unsystematic risk: Is there a linkage?
A1 Abad Romero, Pilar
A1 Robles Fernández, María Dolores
AB This study analyzes the effects of six different credit rating announcements on systematic and unsystematic risk in Spanish companies listed on the Electronic Continuous Stock Market from 1988 to 2010. We use an extension of the event study dummy approach that includes direct effects on beta risk and on volatility. We find effects in both kinds of risk, indicating that rating agencies provide information to the market. Rating actions that imply an improvement in credit quality cause lower systematic and unsystematic risk. Conversely, ratings announcements that imply credit quality deterioration cause a rebalance in both types of risk, with higher beta risk being joined with lower diversifiable risk. Although the event characteristics were not important to determine how the two types of risk reacted to rating actions, the 2007 economic and financial crises increase the market’s sensitivity to these characteristics.
YR 2012
FD 2012
LK https://hdl.handle.net/20.500.14352/49100
UL https://hdl.handle.net/20.500.14352/49100
LA eng
NO Ministerio de Ciencia y Tecnología
NO Junta de Comunidades de Castilla-La Mancha
NO Banco de Santander - UCM
DS Docta Complutense
RD 6 abr 2025