The price impact of rating announcements: evidence from the credit default swap market

Marian Micu, Eli Remolona and Philip Wooldridge

BIS Quarterly Review, 2004

Abstract: Rating announcements affect spreads on credit default swaps. The impact is more pronounced for negative reviews and downgrades than for outlook changes.

JEL-codes: G10 G14 (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (35)

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