RT Report
T1 Risk and returns around bond rating changes: New evidence from the Spanish Stock Market
A1 Abad Romero, Pilar
A1 Robles Fernández, María Dolores
AB 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.
PB Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
YR 2005
FD 2005
LK https://hdl.handle.net/20.500.14352/56625
UL https://hdl.handle.net/20.500.14352/56625
LA eng
DS Docta Complutense
RD 7 abr 2025