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Do Investors Still Rely on Credit Rating Agencies? Evidence from the Financial Crisis

Kiesel, F. (2016):
Do Investors Still Rely on Credit Rating Agencies? Evidence from the Financial Crisis.
In: The Journal of Fixed Income, Insitutional Investors, pp. 20-31, 25, (4), ISSN 1059-8596, [Online-Edition: http://www.iijournals.com/doi/abs/10.3905/jfi.2016.25.4.020],
[Article]

Abstract

The global financial crisis brought increased attention to the importance of rating agencies. The broad consensus was that the rating agencies were unable to detect any deterioration of the issuer’s credit quality in a timely manner. This study analyzes the credit default swaps (CDSs) and stock market response to rating changes during the financial crisis and subsequent years. The sample includes 542 companies from the United States and 15 European countries and examines 915 corporate issuer ratings. The results show that there is no CDS market response to rating announcements during the crisis but that the stock market anticipates downgrade announcements.

Item Type: Article
Erschienen: 2016
Creators: Kiesel, F.
Title: Do Investors Still Rely on Credit Rating Agencies? Evidence from the Financial Crisis
Language: English
Abstract:

The global financial crisis brought increased attention to the importance of rating agencies. The broad consensus was that the rating agencies were unable to detect any deterioration of the issuer’s credit quality in a timely manner. This study analyzes the credit default swaps (CDSs) and stock market response to rating changes during the financial crisis and subsequent years. The sample includes 542 companies from the United States and 15 European countries and examines 915 corporate issuer ratings. The results show that there is no CDS market response to rating announcements during the crisis but that the stock market anticipates downgrade announcements.

Journal or Publication Title: The Journal of Fixed Income
Volume: 25
Number: 4
Publisher: Insitutional Investors
Divisions: 01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete
01 Department of Law and Economics > Betriebswirtschaftliche Fachgebiete > Corporate finance
01 Department of Law and Economics
Date Deposited: 23 Feb 2016 13:18
Official URL: http://www.iijournals.com/doi/abs/10.3905/jfi.2016.25.4.020
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