Determinants of trading activity after rating actions in the Corporate Debt Market
Antonio Diaz () and
M. Dolores Robles-Fernandez ()
Additional contact information Antonio Diaz: Universidad Castilla la Mancha
M. Dolores Robles-Fernandez: Instituto Complutense de Analisis Economico (ICAE) (UCM Institute for Economic Analysis), Facultad de Ciencias Económicas y Empresariales (Faculty of Economics and Business), Universidad Complutense de Madrid, http://www.ucm.es/info/ecocuan/lrf Authors registered in the RePEc Author Service: M. Dolores Robles Fernandez ()
The influence of rating announcements on corporate debt market trading has been previously overlooked. Based on an event study, we examine the effects of the three types of announcements provided by credit rating agencies on abnormal trading volume and trading frequency in the Spanish corporate debt market. Additionally, by means of cross-section regressions, we establish what factors determine the sign and intensity of the trading reactions. The presented results indicate that factors related to the characteristics of the rating announcement, the issuing company and the economic environment are relevant in light of several hypotheses.