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.
2016
15th Eurasia business and Economics Society
Lisbona
8-10 Gennaio 2015
Entrepreneirship, business and economics
Springer
2
597
610
978-3-319-27572-7
rating, market efficiency, credit risk
paola de vincentiis; patrizia pia
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/1609200
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