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Título:
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Risk and returns around bond rating changes: New evidence from the Spanish Stock Market
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Autores:
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Abad Romero, Pilar ;
Robles Fernández, María Dolores
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Tipo de documento:
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texto impreso
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Editorial:
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Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid, 2005
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Dimensiones:
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application/pdf
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Nota general:
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info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias Sociales: Economía: Econometría
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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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En línea:
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https://eprints.ucm.es/id/eprint/7882/1/0505.pdf
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