%0 Report
%A Abad Romero, Pilar
%A Robles, M. Dolores
%T Risk and returns around bond rating changes: New evidence from the Spanish Stock Market
%J Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
%D 2005
%U https://hdl.handle.net/20.500.14352/56625
%X This study analyzes the effect of corporate bond rating changes over stock prices. We explore the effects over excess of returns and systematic risk. Rating changes by Moody´s, Standard and Poor´sor FitchIBCA are analyzed. On an efficient market, these changes will omly have some effect if they contain some new information or if they are associated to a redistribution of dummy approach. Our results indicate that rating downgrades do not cause abnormal returns around the date of the announcement while upgrades cause significantly negative effect.
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