Determinants of trading activity after rating actions in the Corporate Debt Market

Pilar Abad, Antonio Diaz () and M. Dolores Robles-Fernandez ()
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Antonio Diaz: Universidad Castilla la Mancha
M. Dolores Robles-Fernandez: Instituto Complutense de Analisis Economico (ICAE) (UCM Institute for Economic Analysis), Facultad de Ciencias Económicas y Empresariales (Faculty of Economics and Business), Universidad Complutense de Madrid, https://www.ucm.es/icae/
Authors registered in the RePEc Author Service: M. Dolores Robles Fernandez

No 2011-37, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: The influence of rating announcements on corporate debt market trading has been previously overlooked. Based on an event study, we examine the effects of the three types of announcements provided by credit rating agencies on abnormal trading volume and trading frequency in the Spanish corporate debt market. Additionally, by means of cross-section regressions, we establish what factors determine the sign and intensity of the trading reactions. The presented results indicate that factors related to the characteristics of the rating announcement, the issuing company and the economic environment are relevant in light of several hypotheses.

Keywords: Rating agencies; Rating announcementes; Trading volume; Trading frequency (search for similar items in EconPapers)
JEL-codes: C34 G12 G14 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2011
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