Credit rating announcements, trading activity and yield spreads: the Spanish evidence

Pilar Abad, Antonio Díaz and M. Dolores Robles-Fernández
Authors registered in the RePEc Author Service: M. Dolores Robles Fernandez

International Journal of Monetary Economics and Finance, 2012, vol. 5, issue 1, 38-63

Abstract: We test whether different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish corporate debt markets. We observe a significant widening of yield spreads in short- and long-term corporate debt after reviews of downgrades and negative outlook reports. Additionally, certain rating announcements encourage trading activity even when the information is not pricing-relevant. The release of information arouses investor interest for the involved securities. Thus, trading frequency increases, although larger-sized transactions, which should denote possible portfolio rebalancing, are not observed. In the short-term market, trading volumes are found to fade after reviews for downgrade.

Keywords: CRAs; credit rating agencies; rating changes; event study; yields; liquidity; trading frequency; corporate bond markets; commercial paper market; Spain; corporate debt; trading patterns; trading activity. (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.inderscience.com/link.php?id=44466 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:ijmefi:v:5:y:2012:i:1:p:38-63

Access Statistics for this article

More articles in International Journal of Monetary Economics and Finance from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().