The effect of bond rating changes on common stock prices
1986; Elsevier BV; Volume: 17; Issue: 1 Linguagem: Inglês
10.1016/0304-405x(86)90006-1
ISSN1879-2774
AutoresRobert W. Holthausen, Richard Leftwich,
Tópico(s)Banking stability, regulation, efficiency
ResumoThe evidence in this paper suggests that downgrades by both Moody's and Standard and Poor's are associated with negative abnormal stock returns in the two-day window beginning the day of the press release by the rating agency. Significant negative abnormal performance can still be detected after eliminating observations containing obvious concurrent (potentially contaminating) news releases. There is little evidence of abnormal performance on announcement of an upgrade. Significant abnormal returns are associated with announcements of additions to the Standard and Poor's Credit Watch List, if either a potential downgrade or a potential upgrade is indicated.
Referência(s)