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- Title
EFFECTS OF CREDIT RATING ANNOUNCEMENTS: THE SWEDISH STOCK MARKET.
- Authors
Hui Li; Visaltanachoti, Nuttawat; Kesayan, Puspakaran
- Abstract
This paper examines the controversial issue regarding informational value of credit rating announcements. For the rating assignments, positive outlooks and affirmations announcements, there is no significant share price reaction following credit rating announcements in both the long-term and short-term. However, there is significantly positive (negative) market reaction to the upgrade (downgrade) announcements. For the downgrade and negative outlook announcements, the short-term returns show no significant reaction but long-term returns show significant negative response. In conclusion, the results suggest that the liquidity may play a significant role in the informational value of credit rating announcement. In the small but liquid stock market like the Swedish share market, credit rating agencies only provide limited informational value to the investors.
- Publication
International Journal of Finance, 2004, Vol 16, Issue 1, p2872
- ISSN
1041-2743
- Publication type
Academic Journal