Do rating grades convey important information: German evidence?

Kenjegaliev, Amangeldi; Duygun, Meryem; Mamedshakhova, Djamila

Abstract

© 2015 Elsevier B.V. In this paper we investigate the impact of credit rating changes on German stock market. We evaluate daily abnormal stock returns of companies listed on the Frankfurt Stock Exchange (HDAX). Rating upgrades and downgrades are made by three rating agencies: Moody's, Standard and Poor's, and Fitch Ratings. We find that rating announcements are largely anticipated, i.e. German market adjusts stock prices long before the rating changes have been made. Additionally, we report that the market, along with anticipating the rating change, reacts stronger to downgrades compared to upgrades.

Citation

Kenjegaliev, A., Duygun, M., & Mamedshakhova, D. (2016). Do rating grades convey important information: German evidence?. Economic modelling, 53, 334-344. https://doi.org/10.1016/j.econmod.2015.11.021

• Acceptance Date: Nov 24, 2015
• Online Publication Date: Jan 7, 2016
• Publication Date: Feb 1, 2016
• Deposit Date: Dec 22, 2015
• Publicly Available Date: Jan 7, 2016
• Journal: Economic modelling
• Print ISSN: 0264-9993
• Publisher: Elsevier
• Peer Reviewed: Peer Reviewed
• Volume: 53
• Pages: 334-344
• DOI: https://doi.org/10.1016/j.econmod.2015.11.021
• Keywords: Credit rating, Stock market, Event study
• Public URL: https://hull-repository.worktribe.com/output/383419
• Publisher URL: http://www.sciencedirect.com/science/article/pii/S0264999315003892
• Additional Information: This article is maintained by: Elsevier; Article Title: Do rating grades convey important information: German evidence?; Journal Title: Economic Modelling; CrossRef DOI link to publisher maintained version: http://dx.doi.org/10.1016/j.econmod.2015.11.021; Content Type: article; Copyright: Copyright © 2015 Elsevier B.V. All rights reserved.
• Contract Date: Dec 22, 2015