Abad Romero, PilarRobles Fernández, María Dolores2023-06-202023-06-202005https://hdl.handle.net/20.500.14352/56625This 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.engtechnical reporthttps://www.ucm.es/icaeopen accessG12G14C34Credit rating agenciesRating changesEvent studyStock returnsEvent study dummy approachSystematic riskSUREconometría (Economía)5302 Econometría