The informational content of credit rating announcements for share prices in a small market

Elayan, Fayez A.; Hsu, Wei-Huei; Meyer, Thomas

doi:10.1007/bf02761570

Cited by 42 publications

(34 citation statements)

References 30 publications

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“…This result corroborates those of Barron et al (1997), Li et al (2004) but contradicted those of Elayan et al (2003) and Creighton et al (2006) who found a significant response after positive negative ratings announcements.…”

Section: Resultssupporting

confidence: 83%

“…Kliger and Sarig (2000) find that the information published by the rating anticipated by the market, has no effect on the firm value, they add that the stock price variation depends by unexpected changes rating. Elayan et al (2003), analyzing the effect of rating announcement in New-Zealand rating, found abnormal stock return to positive announcements and suggested this reaction depend with corporate size. However, Abad-Romero and Robles-Fernandez (2006) in Spanish market: consider the absence of reaction to downgrades and negative announcement to upgrades.…”

Section: Literature Reviewmentioning

confidence: 99%

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Abnormal Return, Market Reaction around Rating Announcement in Tunisian Stock Market

Daadaa

2016

IJEF

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This paper tests the market reaction and the stock price change around rating announcements in Tunisian stock exchange using the event study methodology. We examine the impact of the change rating announcement on stock return firms from 2006 to 2010. The results show that only the negative rating with downgrades note which is associated to negative abnormal return. The market does not seem to be interested upgrades rating on the Tunisian market. The negative reaction of the market can be explained by leverage change, Book to Market ratio and the level of the rating fall.

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Section: Resultssupporting

confidence: 83%

Section: Literature Reviewmentioning

confidence: 99%

Abnormal Return, Market Reaction around Rating Announcement in Tunisian Stock Market

Daadaa

2016

IJEF

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“…D/EBITDA: net debt to EBITDA . LOG(SIZE): The size of the company should be negatively correlated with CAR because larger companies are more visible and should be less impacted by a new classification (Elayan, Hsu, & Meyer, 2003). We use two measures of size:…”

Section: Analysis Of Significant Car Determinantsmentioning

confidence: 99%

The impact of credit rating changes in Latin American stock markets

Freitas

Minardi

2013

BAR, Braz. Adm. Rev.

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Our objective is to examine whether a rating change or Credit Watch announcement has a significant impact on Latin American stock prices. We conducted an event study to analyze stock market reaction to such news in the four major Latin American economies: Argentina, Brazil, Chile and Mexico. We find similar results to those previously observed in the literature, wherein the impact is quite significant for rating downgrades but less relevant for rating upgrades and Credit Watches. We also run cross section regressions to investigate which variables best explain the impact rating changes announcements have on stock prices in these countries. The results indicate that the most significant variable is the absolute change in the number of notches for downgrades. We conclude that credit ratings are relevant information in Latin America.

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“…In contrast, other global market studies, including the U.K. (Barron et al, 1997), Australia (Matolcsy and Lianto, 1995), Japan (Li et al, 2006), and China (Poon and Chan, 2008), found that these non-U.S. markets react to negative announcements (downgrades and negative reviews) but not to positive announcements (upgrades and positive reviews). Elayan et al (2003), analyzing the New-Zealand rating, found also significant market response to positive announcements and suggested that this special behavior of the New-Zealand capital market arises from its relatively small size. However, Abad-Romero and Robles-Fernandez (2006) analyzing the rather small Spanish corporate bond market concluded in unusual results: absence of response to downgrades and negative response to upgrades.…”

Section: Introductionmentioning

confidence: 94%