The (un)informative value of credit rating announcements in small markets

被引：12

作者：

Afik, Zvika ^{[1
]}

Feinstein, Itai ^{[2
]}

Galil, Koresh ^{[2
]}

机构：

[1] Ben Gurion Univ Negev, Dept Business Adm, Guilford Glazer Sch Business & Management, IL-84105 Beer Sheva, Israel

[2] Ben Gurion Univ Negev, Dept Econ, IL-84105 Beer Sheva, Israel

来源：

JOURNAL OF FINANCIAL STABILITY | 2014年 / 14卷

关键词：

Credit risk; Credit rating; Event study; STOCK-PRICES; DEFAULT SWAP; GOOD-NEWS; BAD-NEWS; BOND; AGENCIES; INFORMATION; ADJUSTMENT; EFFICIENCY; CYCLE;

D O I：

10.1016/j.jfs.2014.08.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This work examines the information value of local Israeli credit rating announcements. This matter is also important to other small markets, in which a debt issuer may take advantage of a "rating shopping" process or choose to avoid a rating procedure altogether, because the agencies do not carry out unsolicited rating. We analyze the bond and equity markets response to various rating announcements at different time periods. We find that except for downgrades in 2008-2009 the rating announcements have no information value. It seems that generally the market internalizes most of the information prior to the rating announcements. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：66 / 80

页数：15

共 33 条

[1] Risk and return around bond rating changes: New evidence from the Spanish stock market [J].