The informational content of credit rating announcements for share prices in a small market

Fayez Elayan, Wei Hsu and Thomas Meyer ()

Journal of Economics and Finance, 2003, vol. 27, issue 3, 337-356

Abstract: The informational value of credit ratings is a subject of continuing debate. This research examines whether reaction to small market credit rating announcements is different from large markets, due to limited information, liquidity premia, and analyst neglect factors. Unlike U.S. and Australian studies that find a significant reaction to only bad news, a significant positive reaction to both positive placements and upgrades is found in the New Zealand market. Further, significant market reaction largely accrues to firms not cross-listed in U.S. markets. This evidence suggests credit rating agencies act as substitute information providers for firms followed by relatively few analysts. Copyright Springer 2003

Date: 2003
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DOI: 10.1007/BF02761570

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