Purpose This paper aims to identify if there is an impact of the rating announcements issued by agencies on returns stocks Brazilian companies listed Brasil Bolsa Balcão, from August 2002 2018, identifying which types announcement (upgrade, downgrade or same initial classification) cause variations in prices around date disclosure rating. Design/methodology/approach The event study methodology ...

We provide a novel set of government spending efficiency scores for the OECD countries and then assess to what extent capital markets perceive increases (decreases) as part determinants sovereign rating decisions. Public are computed via data envelopment analysis. Then, we rely notably on ordered response models estimate ratings changes in scores. Covering 35 over period 2007–2020, find that in...

Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across different maturities in European sovereign bond market over tranquil crisis periods. The longer-term benchmark securities of core countries are largest net transmitters, whereas shorter-term benchmarks periphery leading receivers shocks. Moreover, short-end long-end yield curve bot...

There is a curvilinear relation between credit ratings and acquisitions. Non-investment grade firms make more acquisitions as their improve, consistent with the relaxation of financial constraints. However, this pattern reverses for investment firms, supporting view that such want to preserve rating are concerned about acquisition-related downgrades. Abnormal returns first decrease then increas...

This paper analyzes the relationship between structured finance par coupon spreads at issuance and the securities' credit performance. Using structured finance securities including asset-backed and mortgage-backed securities and collateralized debt obligations issued in the U.S. during 1998-2004, we find spreads vary substantially by rating, over time, and across asset classes; the spreads on s...

American studies than in UK series likely reflects greater variation in practice standards in the USA. Review work should ideally occur within the context of a multidisciplinary team (MDT) meeting. Such work is time-consuming and requires the attendance of key radiologists, pathologists, surgeons, physicians and paramedical staff, as well as the support of administrators and clerical staff. Not...

This paper investigates how syndicated lenders react to borrowers’ rating changes under heterogeneous conditions and different regulatory regimes. Our findings suggest that corporate downgrades increase capital requirements for lending banks the Basel II framework are associated with increased loan spreads deteriorating non-price terms relative do not affect requirements. Ratings exert an asymm...

Considering the inherent stickiness of abnormal audit fees, our study contributes to literature by decomposing fees into a jump component and long-run sticky component. We investigate whether how changes in credit ratings asymmetrically affect fees. document positive association between rating downgrades find that heightened bankruptcy risk misstatement are mechanisms drive this relationship. F...