Impacts Of Credit Rating Announcements On Share Price In The NASDAQ Market And The Role Of The Credit Rating Agencies
(2014) NEKN02 20141Department of Economics
- Abstract
- The purpose of this paper is to investigate the response of the stock prices of firms based on NASDAQ Select Market, during the Credit Rating Announcements made by one of the major rating agencies, Standard and Poor’s, before and after the Great Financial Crisis of 2007-2008. The test procedure is the application of the event study by which we are going to investigate whether or how much the markets respond to Credit Rating Announcements. Furthermore, some important added implications would be if the results suggest the existence of an asymmetric response according to the differences between upgrading, stable grading and downgrading, or between firms with different size of capitalization, as well as whether the strength of the response has... (More)
- The purpose of this paper is to investigate the response of the stock prices of firms based on NASDAQ Select Market, during the Credit Rating Announcements made by one of the major rating agencies, Standard and Poor’s, before and after the Great Financial Crisis of 2007-2008. The test procedure is the application of the event study by which we are going to investigate whether or how much the markets respond to Credit Rating Announcements. Furthermore, some important added implications would be if the results suggest the existence of an asymmetric response according to the differences between upgrading, stable grading and downgrading, or between firms with different size of capitalization, as well as whether the strength of the response has changed after the 2008.Our empirical research showed that the firms that were assigned negative rating before the financial crisis, experienced a strong negative impact on their stock price. On the contrary, stable grading or up grading have no strong effect. However, it is shown that after the 2008 no Credit Rating Announcement has strong effect on the firms’ stock price. An analysis behind this intuition is provided. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/4467653
- author
- Michailidis, Alexandros LU and Wu, Wanlin LU
- supervisor
-
- Birger Nilsson LU
- Bujar Huskaj LU
- organization
- course
- NEKN02 20141
- year
- 2014
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Credit Rating Announcement, Standard and Poor’s, NASDAQ, Event Study
- language
- English
- id
- 4467653
- date added to LUP
- 2014-06-17 13:19:29
- date last changed
- 2014-06-17 13:19:29
@misc{4467653,
abstract = {{The purpose of this paper is to investigate the response of the stock prices of firms based on NASDAQ Select Market, during the Credit Rating Announcements made by one of the major rating agencies, Standard and Poor’s, before and after the Great Financial Crisis of 2007-2008. The test procedure is the application of the event study by which we are going to investigate whether or how much the markets respond to Credit Rating Announcements. Furthermore, some important added implications would be if the results suggest the existence of an asymmetric response according to the differences between upgrading, stable grading and downgrading, or between firms with different size of capitalization, as well as whether the strength of the response has changed after the 2008.Our empirical research showed that the firms that were assigned negative rating before the financial crisis, experienced a strong negative impact on their stock price. On the contrary, stable grading or up grading have no strong effect. However, it is shown that after the 2008 no Credit Rating Announcement has strong effect on the firms’ stock price. An analysis behind this intuition is provided.}},
author = {{Michailidis, Alexandros and Wu, Wanlin}},
language = {{eng}},
note = {{Student Paper}},
title = {{Impacts Of Credit Rating Announcements On Share Price In The NASDAQ Market And The Role Of The Credit Rating Agencies}},
year = {{2014}},
}