Kiesel, F. ; Kolaric, S. (2018)
Measuring the effect of watch-preceded and direct rating changes: a note on credit markets.
In: Review of Quantitative Finance and Accounting, 50 (2)
Artikel, Bibliographie
Kurzbeschreibung (Abstract)
This paper analyzes the importance of distinguishing between watch-preceded and direct rating changes for the credit default swap (CDS) market by examining a total of 2991 rating change announcements, 1526 watchlist placement announcements, and 430 rating affirmations following watchlist placements. The results show that watch-preceded downgrades do not lead to significant CDS market reactions, while direct downgrades are associated with a significant increase in CDS spread levels. Likewise, we document that watchlist placements for downgrade lead to increases in firms’ CDS spreads. CDS markets do not react to rating upgrades but watchlist placements for upgrade result in an immediate decrease in CDS spreads. Rating affirmations following watchlist placements for downgrade lead to slight reductions in CDS spreads, while affirmations following watchlist placements for upgrade have no effect on CDS spreads. These findings demonstrate the importance for empirical research on the interaction between credit markets and rating announcements to differentiate between watch-preceded and direct rating changes, particularly for rating downgrades.
| Typ des Eintrags: | Artikel |
|---|---|
| Erschienen: | 2018 |
| Autor(en): | Kiesel, F. ; Kolaric, S. |
| Art des Eintrags: | Bibliographie |
| Titel: | Measuring the effect of watch-preceded and direct rating changes: a note on credit markets |
| Sprache: | Englisch |
| Publikationsjahr: | 18 Januar 2018 |
| Verlag: | Springer |
| Titel der Zeitschrift, Zeitung oder Schriftenreihe: | Review of Quantitative Finance and Accounting |
| Jahrgang/Volume einer Zeitschrift: | 50 |
| (Heft-)Nummer: | 2 |
| URL / URN: | https://doi.org/10.1007/s11156-017-0641-1 |
| Kurzbeschreibung (Abstract): | This paper analyzes the importance of distinguishing between watch-preceded and direct rating changes for the credit default swap (CDS) market by examining a total of 2991 rating change announcements, 1526 watchlist placement announcements, and 430 rating affirmations following watchlist placements. The results show that watch-preceded downgrades do not lead to significant CDS market reactions, while direct downgrades are associated with a significant increase in CDS spread levels. Likewise, we document that watchlist placements for downgrade lead to increases in firms’ CDS spreads. CDS markets do not react to rating upgrades but watchlist placements for upgrade result in an immediate decrease in CDS spreads. Rating affirmations following watchlist placements for downgrade lead to slight reductions in CDS spreads, while affirmations following watchlist placements for upgrade have no effect on CDS spreads. These findings demonstrate the importance for empirical research on the interaction between credit markets and rating announcements to differentiate between watch-preceded and direct rating changes, particularly for rating downgrades. |
| Freie Schlagworte: | Credit default swaps (CDS), Credit rating, Credit watchlist, Credit quality, Event study |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Betriebswirtschaftliche Fachgebiete 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Betriebswirtschaftliche Fachgebiete > Fachgebiet Unternehmensfinanzierung |
| Hinterlegungsdatum: | 19 Mai 2017 21:16 |
| Letzte Änderung: | 20 Okt 2021 12:42 |
| PPN: | |
| Export: | |
| Suche nach Titel in: | TUfind oder in Google |
 |
Frage zum Eintrag |
Optionen (nur für Redakteure)
 |
Redaktionelle Details anzeigen |
Drucken
Impressum