Template-type: ReDIF-Paper 1.0
Author-Name: Pilar Abad Romero 
Author-Workplace-Name: Universidad Complutense de Madrid, Dpto. de Economía Cuantica
Author-Name: M. Dolores Robles Fernández
Author-Email: mdrobles@ccee.ucm.es
Author-Workplace-Name: Universidad Complutense de Madrid, Dpto. de Economía Cuantica
Title: Risk and returns around bond rating changes: New evidence from the Spanish Stock Market
Abstract: This study analyzes the effect of corporate bond rating changes over stock prices. We explore 
	the effects over excess of returns and systematic risk. Rating changes by Moody´s, Standard and 
	Poor´sor FitchIBCA are analyzed. On an efficient market, these changes will omly have some effect 
	if they contain some new information or if they are associated to a redistribution of dummy approach. 
	Our results indicate that rating downgrades do not cause abnormal returns around the date of the 
	announcement while upgrades cause significantly negative effect.
Classification-JEL: G12, G14, C34
Keywords: Credit rating agencies, Rating changes, Event study, Stock returns, Event study dummy approach, 
	Systematic risk, SUR.
Length: 30 pages 
Creation-Date: 2005
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0505.txt 
File-URL: https://eprints.ucm.es/id/eprint/7882/1/0505.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0505