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Do rating grades convey important information: German evidence?

Kenjegaliev, Amangeldi; Duygun, Meryem; Mamedshakhova, Djamila


Meryem Duygun

Djamila Mamedshakhova


© 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.


Kenjegaliev, A., Duygun, M., & Mamedshakhova, D. (2016). Do rating grades convey important information: German evidence?. Economic modelling, 53, 334-344.

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
Keywords Credit rating, Stock market, Event study
Public URL
Publisher URL
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:; Content Type: article; Copyright: Copyright © 2015 Elsevier B.V. All rights reserved.


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