Does Credit Rating Revisions Affect the Price of Common Stock: A Study of Indian Capital Market

Gaurav Dawar, Shivangi Bhatia and Jai Parkash Bindal

Business Perspectives and Research, 2023, vol. 11, issue 2, 190-209

Abstract: The current investigation aims to assess the effect of credit assessment changes on the share prices of Indian companies from 2009 to 2019. The data of top 100 companies listed on National Stock Exchange (NSE) across 10 industries stem from CMIE databases. The excess stock return is compared with the market in a 15-day window around credit rating changes. The event effect on share prices is more in the pre-event window compared to the post-event window. Positive abnormal stock returns around upgrades through downgrades are statistically significant compared to upgrades. Credit ratings are not significant across industries, and agency nationality is a critical factor for calculating the intensity of price reaction.

Keywords: Credit rating; credit rating agencies; downgrades and upgrades; rating announcements; event study; abnormal returns; information efficiency (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:sae:busper:v:11:y:2023:i:2:p:190-209

DOI: 10.1177/22785337211033509

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