Stock Market Reaction to Credit Rating Changes: New Evidence
Document Type
Peer-Reviewed Article
Publication Date
2018
Abstract
This study shows how stock market reacts to rating change announcements where confounding effects of information spillover from related markets are absent. Contrary to existing literature, we find that the stock market reacts positively to a rating upgrade and no response to downgrade. Our analysis shows that pre-announcement cumulative abnormal returns can significantly predict announcement period abnormal return. Finally, we document a significant reduction in information asymmetry due to rating upgrade announcements affirming the recent policy initiatives.
DOI
10.1080/16081625.2018.1481756
Recommended Citation
Amin, A.S., Jain, P., & Malik, M. (2018). Stock market reaction to credit rating changes: New evidence. Asia-Pacific Journal of Accounting and Economics, Published online 18 June 2018. doi: 10.1080/16081625.2018.148175
