Please use this identifier to cite or link to this item: http://hdl.handle.net/11328/2295
Title: Stock price effects of bank rating announcements: An application to European Union countries
Authors: Lobão, Júlio
Pacheco, Luís Miguel
Campos, Susana
Keywords: Credit ratings
Banks
Stock market
Market efficiency
Event study
Issue Date: 24-Jul-2018
Publisher: John Wiley & Sons
Citation: Lobão, J., Pacheco, L., & Campos, S. (2018). Stock price effects of bank rating announcemets: An application to European Union countries. International Journal of Finance and Economics, 0,1-16. doi: https://doi.org/10.1002/ijfe.1645. Disponível no Repositório UPT, http://hdl.handle.net/11328/2295
Abstract: This paper uses daily stock prices data surrounding credit rating announcement dates to examine abnormal returns of stocks of the European Union banks experiencing debt rating announcements, during the period 2004-2015. The results of the event studies suggest that rating agencies, by issuing downgrades and upgrades, provide relevant information to capital markets. The results also indicate that rating agencies contribute to enhance the transparency and efficiency in capital markets by standardizing information for all investors. The large positive pre-upgrade returns we observe are consistent with the view that upgrades are of most interest to market investors. There is no significant evidence of abnormal returns on announcements of rating watches.
URI: http://hdl.handle.net/11328/2295
Appears in Collections:REMIT – Artigos em Revistas Internacionais / Papers in International Journals

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