L'impact des décisions des agences de notation sur le prix des actions: une comparaison du cas français avec les cas européen et américain

Evguenia Iankova, Florent Pochon and Jérôme Teiletche

Economie & Prévision, 2009, vol. n° 188, issue 2, 1-21

Abstract: This paper analyses the response of equities to credit-rating announcements by agencies (S&P, Moody?s, Fitch). Wecompare the reactions observed in the French stock market equities with those of European and U. S. markets in1990-2004. We apply a standard event-study methodology but enhance it with non-parametric tests and bootstraptechniques. We find that the asymmetry of price reactions to bad news (downgrades and negative outlooks) is less clear inFrance and Europe than in the U. S. Our assessment of price-reaction determinants suggests that macroeconomic factorsoutweigh microeconomic ones.

Keywords: credit ratings; event study; informational efficiency (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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