Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Reactions of the Nordic Stock Markets to changes in Credit Ratings

Ben Larbi, Reda LU and Ström, Christoffer (2018) NEKN02 20171
Department of Economics
Abstract
The relevance of credit ratings has seen augmented growth after the financial crises, especially in the Eurobond market, even though U.S. agencies have been criticised whether ratings are relevant information sources for international capital markets and if non-U.S. market participants relate their investment decision on the ratings. This paper is concentrated on the association between changes in corporate credit ratings and stock returns in the Nordic market. Applying event study methodology, we investigate how strongly the announcement effect on daily stock returns respond to rating announcements by conducting parametric and non-parametric tests. We base our study on a sample of credit rating changes by Standard & Poor’s from year 2001... (More)
The relevance of credit ratings has seen augmented growth after the financial crises, especially in the Eurobond market, even though U.S. agencies have been criticised whether ratings are relevant information sources for international capital markets and if non-U.S. market participants relate their investment decision on the ratings. This paper is concentrated on the association between changes in corporate credit ratings and stock returns in the Nordic market. Applying event study methodology, we investigate how strongly the announcement effect on daily stock returns respond to rating announcements by conducting parametric and non-parametric tests. We base our study on a sample of credit rating changes by Standard & Poor’s from year 2001 to 2017, consisting of listed corporates from Denmark, Finland, Norway and Sweden. (Less)
Please use this url to cite or link to this publication:
author
Ben Larbi, Reda LU and Ström, Christoffer
supervisor
organization
course
NEKN02 20171
year
type
H1 - Master's Degree (One Year)
subject
keywords
Credit rating announcement
language
English
id
8958264
date added to LUP
2018-09-24 14:01:03
date last changed
2018-09-24 14:01:03
@misc{8958264,
  abstract     = {{The relevance of credit ratings has seen augmented growth after the financial crises, especially in the Eurobond market, even though U.S. agencies have been criticised whether ratings are relevant information sources for international capital markets and if non-U.S. market participants relate their investment decision on the ratings. This paper is concentrated on the association between changes in corporate credit ratings and stock returns in the Nordic market. Applying event study methodology, we investigate how strongly the announcement effect on daily stock returns respond to rating announcements by conducting parametric and non-parametric tests. We base our study on a sample of credit rating changes by Standard & Poor’s from year 2001 to 2017, consisting of listed corporates from Denmark, Finland, Norway and Sweden.}},
  author       = {{Ben Larbi, Reda and Ström, Christoffer}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Reactions of the Nordic Stock Markets to changes in Credit Ratings}},
  year         = {{2018}},
}