Disentangling the Genuine Effect of CRAs’ Rating Announcements from Investigator Bias on Stock Markets: A Meta-analysis

Christine Louargant (), Patrice Laroche, Jean-Noël Ory () and Jerome Hubler ()
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Christine Louargant: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine
Jean-Noël Ory: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine
Jerome Hubler: CEREFIGE - Centre Européen de Recherche en Economie Financière et Gestion des Entreprises - UL - Université de Lorraine

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Abstract: There is considerable debate in the literature regarding the effects of CRA's rating announcements on stock market reactions. The aim of this study is to examine the significance of the market reaction to CRAs' announcement by using a meta-analysis approach. We implement a two-stage procedure, relying on logistic meta-regressions based on a sample of 78 articles published in academic journals, covering a period from 1978 to 2021 and a wide range of countries. We find that the significance of the abnormal returns and their degree of significance is partly explained by the informational content of CRAs announcement and partly by methodological choices made by the authors.

Keywords: meta-analysis; event-study; credit rating agencies; abnormal returns; logistic regressions; investigator bias (search for similar items in EconPapers)
Date: 2023-12-13
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Published in World Finance Meeting, Dec 2023, Vilnius, Lithuania

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Working Paper: Disentengling the genuine effect of CRAs’ rating announcements from investigator bias on stock markets:a meta-analysis (2023)
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