type="main" <p>We examine the information content of Australian credit rating announcements by measuring the abnormal changes in credit default swap (CDS) spreads. CDS spreads provide a direct view of credit quality and thus should impound information quickly when investors receive new credit risk...</p>

Company financial reports are likely to be systematically biased. In this paper, we extend the Duffie and Lando (2001) model with a skewness correction which can account for both random and directional components of reporting noise.