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Title: Credit rating news and stock return synchronicity: Informational effects of regulation reforms Authors:  Dolores Robles - Universidad Complutense de Madrid (Spain) [presenting]
Pilar Abad - Universidad Rey Juan Carlos (Spain)
Rodrigo Ferreras - Santa Lucia (Spain)
Abstract: The informational content of changes in credit risk of corporate debt issues is analyzed. We study how credit rating variations announced by the more globally important Credit Rating Agencies convey firm-specific information affecting the synchronicity of stock returns. We analyse US companies from 1996 to 2014. We focus on the informational effects of the last regulatory reforms on the US financial market. We find informational content that depends on firm characteristics and on features of the rating announcement. The new regulations affecting the credit rating agencies has modified the informativeness level of these rating changes, sometimes on the direction expected when the rule was legislated and other to the opposite side. We also confirm that multi-agency announcements, the fallen angels and the variation on the number of notches affect directly to the information content of the rating announcement.