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 ten-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.

Rating Actions: Reliable Information or Regulatory Constraint after the Subprime Crisis?

ISAIA, Eleonora;DAMILANO, Marina;ROVERA, Cristina
2015-01-01

Abstract

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 ten-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.
2015
11
2
40
51
http://www.irbrp.com/static/documents/September/2015/1446012519.pdf
rating actions, reputational damage, CRAs
Isaia, Eleonora; Damilano, Marina; Rovera, Cristina
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/1551210
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