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Impact of credit ratings on stock returns
This study investigates whether a change in credit ratings lead to a change in daily excess stock returns. The sample includes daily stock price data for US firms listed on the Standard & Poor?s 500 from January 2006 to December 2015. Firms? excess stock returns are compared with the market in a 14-day window around credit rating downgrades and upgrades. Our results are asymmetric, that is, there is a significan reaction to credit ratings downgrades but not to upgrades. In addition, we report weak evidence of upgrades in credit ratings since the 2008 global credit crisis leading to significant changes in security prices..
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| PSB lt.2 - Karya Akhir | 1 |
| Penerbit | : Bulletin of Monetary Economics and Banking 2019 |
|---|---|
| Edisi | - |
| Subjek | Global financial crisis Stock price Stock Returns Credit ratings |
| ISBN/ISSN | - |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |