At the time of the subprime crisis, investors strongly blamed credit rating agencies (CRAs). Six years later, we want to verify if CRAs are still suffering a reputational damage by measuring stock prices reactions to rating announcements. To test our hypothesis we conduct an event analysis on the American, EU area and Asian/Pacific stock markets over a 10-year period from November 2003 to November 2013. We find that the post-crisis abnormal returns are in general lower if compared with the pre-crisis level, in particular if rating changes are far away from the speculative-junk border.
CITATION STYLE
Isaia, E., Damilano, M., & Rovera, C. (2016). Stock Market Reactions to Credit Ratings Across the Subprime Crisis (pp. 585–596). https://doi.org/10.1007/978-3-319-27573-4_37
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