Do rating grades convey important information: German evidence?

Amangeldi Kenjegaliev (), Meryem Duygun and Djamila Mamedshakhova

Economic Modelling, 2016, vol. 53, issue C, 334-344

Abstract: In this paper we investigate the impact of credit rating changes on German stock market. We evaluate daily abnormal stock returns of companies listed on the Frankfurt Stock Exchange (HDAX). Rating upgrades and downgrades are made by three rating agencies: Moody's, Standard and Poor's, and Fitch Ratings. We find that rating announcements are largely anticipated, i.e. German market adjusts stock prices long before the rating changes have been made. Additionally, we report that the market, along with anticipating the rating change, reacts stronger to downgrades compared to upgrades.

Keywords: Credit rating; Stock market; Event study (search for similar items in EconPapers)
JEL-codes: C10 E44 F41 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:53:y:2016:i:c:p:334-344

DOI: 10.1016/j.econmod.2015.11.021

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