The price impact of rating announcements: which announcements matter?

Marian Micu, Eli Remolona and Philip Wooldridge
Additional contact information
Marian Micu: Barclays - San Francisco, Ca Office

No 207, BIS Working Papers from Bank for International Settlements

Abstract: 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.

Keywords: credit default swaps; credit ratings; event study; market reaction (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2006-06
New Economics Papers: this item is included in nep-fmk and nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (59)

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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:207

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