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The price impact of rating announcements : which announcements matter?Micu, Marian ; Remolona, Eli M. ; Wooldridge, Philip D.Credit rating agencies make multiple announcements, some of which are intended to reflect the latest information available about a firm and others of which are intended to provide a stable signal of ... credit quality. Using data on CDS spreads, we examine which of these different types of rating announcements contains pricingrelevant information. We find that all types, including changes in outlook, have a significant impact on CDS spreads. Even rating announcements preceded by similar announcements have an impact. The price impact is greatest for firms with split ratings, smallcap firms and firms rated near the threshold of investment grade.Type of material - bookPublication and manufacture - Basel (Switzerland) : Bank for International Settlements, Monetary and Economic Dept., 2006Language - englishCOBISS.SI-ID - 17678822
Author
Micu, Marian |
Remolona, Eli M. |
Wooldridge, Philip D.
Other authors
Bank for International Settlements |
Monetary and Economic Dept
Collection
BIS working papers
Topics
Bonds |
Ratings |
Econometric models |
Credit ratings |
Econometric models |
podjetje |
boniteta |
kreditna sposobnost |
ocene |
informacije |
investicije |
trg |
preizkušanje domnev |
raziskave |
analiza |
kalkulacije |
ekonometrija |
enterprises |
reliability |
credit rating |
evaluation |
information |
investments |
market |
hypotheses testing |
research |
analysis |
calculations |
econometrics |
econometrics
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Database name | Field | Year |
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Micu, Marian | |
Remolona, Eli M. | |
Wooldridge, Philip D. |
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