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Has the Global Financial Crisis Changed the Market Response to Credit Ratings? Evidence from an Emerging Market

Kaveri Krishnan, Sankarshan Basu and Ashok Thampy

Journal of Emerging Market Finance, 2020, vol. 19, issue 1, 7-32

Abstract: This article analyses the differential market response to credit rating revisions in the pre- and post-global financial crisis (GFC) period using data from India. By reviewing the stock price reaction to the announcement of long-term rating changes during the period 1996–2015, the study finds evidence that the stock price reacted less to rating announcements after the GFC of 2008. However, the difference in the cumulative abnormal returns before the GFC and after the GFC is not statistically significant. JEL codes: G240, G010, G140

Keywords: Credit rating; global financial crisis; information content; emerging markets (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1177/0972652719877472

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