As a consequence of the subprime crisis the credit rating agencies sufferered a reputation damage. We gauge the extension of the reputation damage by looking at the market's reaction to rating actions. Through a standard event-study methodology, we measure the abnormal return to stock prices in the 3-day window centered on the announcement day during the decade 2003-2013.
Does the market trust credit rating agencies after the subprime crisis? A comparison between major and minor agencies.
DE VINCENTIIS, Paola;PIA, Patrizia
2016-01-01
Abstract
As a consequence of the subprime crisis the credit rating agencies sufferered a reputation damage. We gauge the extension of the reputation damage by looking at the market's reaction to rating actions. Through a standard event-study methodology, we measure the abnormal return to stock prices in the 3-day window centered on the announcement day during the decade 2003-2013.
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