When did the stock market start to react less to downgrades by Moody's, S&P and Fitch?

Ginevra Marandola, Rossella Mossucca

This paper studies the stock market response to corporate downgrades by S&P, Moody's and Fitch between 1999 and 2011. The empirical evidence shows that cumulative abnormal returns around downgrades become significantly smaller (in absolute value) after the release in 2003 of the Securities and Exchange Commission's Report on credit rating agencies. The Report addresses concerns related to the agencies and marks a turning point in the attitude of U.S. regulators towards a more critical approach. This has a strong impact on investors that respond by reacting less to downgrades.

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Year of publication:	[2016] ; This version: March, 2016
Authors:	Marandola, Ginevra ; Mossucca, Rossella
Publisher:	Bologna, Italy : Alma Mater Studiorum - Università di Bologna, Department of Economics
Subject:	credit rating agencies \| credit ratings \| stock market information \| event study \| Kreditwürdigkeit \| Credit rating \| Börsenkurs \| Share price \| Ratingagentur \| Rating agency \| Aktienmarkt \| Stock market \| Ankündigungseffekt \| Announcement effect \| Ereignisstudie \| Event study

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Extent:	1 Online-Ressource (circa 62 Seiten) Illustrationen
Series:	Quaderni - working paper DSE / Alma Mater Studiorum - Università di Bologna, Department of Economics. - Bologna : [Verlag nicht ermittelbar], ISSN 2282-6483, ZDB-ID 2125055-8. - Vol. no 1066
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	10.6092/unibo/amsacta/5142 [DOI] hdl:10419/159904 [Handle]
Classification:	G14 - Information and Market Efficiency; Event Studies ; G24 - Investment Banking; Venture Capital; Brokerage ; G28 - Government Policy and Regulation
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011705494