When did the stock market start to react less to downgrades by Moody’s, S&P and Fitch?

Marandola, Ginevra ; Mossucca, Rossella (2016) When did the stock market start to react less to downgrades by Moody’s, S&P and Fitch? Bologna: Dipartimento di Scienze economiche DSE, p. 60. DOI 10.6092/unibo/amsacta/5142. In: Quaderni - Working Paper DSE (1066). ISSN 2282-6483.
Full text available as:
[img]
Preview
Text(pdf)
License: Creative Commons Attribution Non-commercial

Download (657kB) | Preview

Abstract

This paper studies the stock market response to corporate downgrades by S&P, Moody's and Fitch between 1999 and 2011. The empirical evidence shows that cumulative abnormal returns around downgrades become significantly smaller (in absolute value) after the release in 2003 of the Securities and Exchange Commission’s Report on credit rating agencies. The Report addresses concerns related to the agencies and marks a turning point in the attitude of U.S. regulators towards a more critical approach. This has a strong impact on investors that respond by reacting less to downgrades.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Marandola, Ginevra
Mossucca, Rossella
Keywords
credit rating agencies, credit ratings, stock market information, event study
Subjects
ISSN
2282-6483
DOI
Deposit date
10 May 2016 08:20
Last modified
07 Jun 2017 08:56
URI

Other metadata

Downloads

Downloads

Staff only: View the document

^