This study examines whether and how a major credit rating agency, S&P, strategically times the release of rating changes in an intraday setting. We find that the proportion of downgrades announced after regular trading hours is higher than upgrades. We find that credit rating agencies are more...

This study compares the relative performance of several well-known models in the forecasting of REIT volatility. Overall our results suggest that long-memory models (ARFIMA & FIGARCH) provide the best forecasts. Using either a large sample or some statistically justified small subsamples, we...