Sovereign Credit Rating Announcements and Baltic Stock Markets
نویسندگان
چکیده
منابع مشابه
Informational Efficiency of Credit Default Swap and Stock Markets: the Impact of Credit Rating Announcements
Informational Efficiency of Credit Default Swap and Stock Markets: The Impact of Credit Rating Announcements This Paper analyses the response of stock and credit default swap (CDS) markets to rating announcements by the three major rating agencies during 2000-2. Applying event study methodology, we examine whether and how strongly these markets respond to rating announcements in terms of abnorm...
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Previous research suggests that credit rating announcements by Moody’s are anticipated by participants in the credit default swap market. In particular, it is argued that downgrades and negative outlook reports do not contain significant information, but there seems to be anticipation of both types of ratings announcements. In this paper, we examine credit default swap spread changes conditiona...
متن کاملCredit Rating Changes, Information Acquisition and Stock Price Informativeness
How do rating changes affect investor behavior and price informativeness? In a model with endogenous information acquisition and investors with limited attention, we show that the returns to information and the informativeness of the price system increase after a downgrade, but should not experience a significant change after an upgrade. Using a sample of U.S. publicly traded firms that experie...
متن کاملSovereign credit ratings, market volatility, and financial gains
The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are defined using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility, but downgrades increase stock ...
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ژورنال
عنوان ژورنال: Organizations and Markets in Emerging Economies
سال: 2011
ISSN: 2345-0037,2029-4581
DOI: 10.15388/omee.2011.2.1.14289