Contenido informativo de los cambios de Rating en el mercado de Valores Español

Pilar Abad and M. Dolores Robles Fernandez ()

Documentos del Instituto Complutense de Análisis Económico from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales

Abstract: This work analyzes the effect of corporate bond rating rating changes over stock prices. This topic has not been analyzed before on the Spanish stock market. They are analyzed changes in the qualification of debt risk granted by agencies like Moody's or Standard and Poor's among others. On an efficient market, if these changes contain new information it should be observed some type of response. The used methodology is the event study. The evidence indicates that bond rating changes contain useful information. Rating downgrades cause significantly negative abnormal returns. Surprinsingly, the upgrades have the same effect. The investors can be interpreting these raises as bad news, if they were waiting for a better upgrade.

Keywords: Cambio de rating; Estudio de eventos; Rating changes; Event study. (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://eprints.ucm.es/7703/1/0304.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ucm:doicae:0304

Access Statistics for this paper

More papers in Documentos del Instituto Complutense de Análisis Económico from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales
Contact information at EDIRC.
Series data maintained by Águeda González Abad ().