CAMBIOS EN EL RATING DE BONOS Y SU EFECTO EN LOS PRECIOS ACCIONARIOS: EL CASO CHILENO

Franco Parisi () and Daniel Perez
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Daniel Perez: Escuela de Graduados, Universidad de Chile.

Abante, 2000, vol. 3, issue 2, pages 249-273

Abstract: The paper studies the effect of bond rating upgrades (downgrades) on stock prices in Chile which, based on the international evidence is expected to be positive (negative). However, no effect is observed, even when the sample is analyzed according to the type of agency that announced the rating change and the type of change. The explanation of our findings may lie in the particular characteristics of the Chilean capital market, where institutional investors have an important role, and where ownership is highly concentrated.

Keywords: Rating; Cumulative Average Returns; Bootstrap; Rating Changes; Comisión Clasificadora de Riesgo; Chile (search for similar items in EconPapers)
JEL-codes: G14 G15 G19 (search for similar items in EconPapers)
Date: 2000
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