Stock Market Reactions to Credit Ratings Across the Subprime Crisis

Eleonora Isaia (), Marina Damilano () and Cristina Rovera ()
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Eleonora Isaia: University of Torino
Marina Damilano: University of Torino
Cristina Rovera: University of Torino

A chapter in Entrepreneurship, Business and Economics - Vol. 2, 2016, pp 585-596 from Springer

Abstract: Abstract At the time of the subprime crisis, investors strongly blamed credit rating agencies (CRAs). Six years later, we want to verify if CRAs are still suffering a reputational damage by measuring stock prices reactions to rating announcements. To test our hypothesis we conduct an event analysis on the American, EU area and Asian/Pacific stock markets over a 10-year period from November 2003 to November 2013. We find that the post-crisis abnormal returns are in general lower if compared with the pre-crisis level, in particular if rating changes are far away from the speculative-junk border.

Keywords: Rating agencies; Information efficiency; Stock market returns; Subprime crisis (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:spr:eurchp:978-3-319-27573-4_37

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DOI: 10.1007/978-3-319-27573-4_37

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