Template-type: ReDIF-Paper 1.0
Author-Name: Pilar Abad   
Author-Email: pilar.abad@urjc.es
Author-Person: pab62
Author-Homepage: http://pabad.webs.uvigo.es/
Author-Workplace-Name: Universidad Rey Juan Carlos, Departamento de Fundamentos del Análisis Económico
Author-Workplace-Homepage: https://www.urjc.es/
Author-Name: Antonio Diaz
Author-Email: antonio.diaz@uclm.es
Author-Workplace-Name: Universidad Castilla la Mancha
Author-Name: M. Dolores Robles-Fernandez
Author-Email: mdrobles@ccee.ucm.es
Author-Person: pro91 
Author-Workplace-Name: Instituto Complutense de Analisis Economico (ICAE) (UCM Institute for Economic Analysis), 
	Facultad de Ciencias Económicas y Empresariales (Faculty of Economics and Business), Universidad Complutense 
	de Madrid
Author-Workplace-Homepage: https://www.ucm.es/icae
Author-Workplace-Name: Departamento de Economía Cuantitativa (Department of Quantitative Economics), Facultad de 
	Ciencias Económicas y Empresariales (Faculty of Economics and Business), Universidad Complutense de 
	Madrid
Title: Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
Abstract: We test whether or not different rating announcements contain pricing-relevant information and modify 
	trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a 
	statistically significant widening of yield spreads in both segments of the corporate debt market after 
	reviews of downgrades and negative outlook reports. In addition, we find that certain rating announcements 
	encourage trading activity even when the information is not pricing-relevant. The release of information 
	arouses investor interest for the involved securities. Thus, trading frequency increases, although 
	larger-sized transactions, which should denote possible portfolio rebalancing, are not observed. In 
	the commercial paper note market, we also find that that trading volumes fade away after reviews for 
	downgrade. Investors seem to prefer reducing the trading of these short-term securities to liquidating 
	their positions.
Classification-JEL: G12, G14, C34.
Keywords: Credit rating agencies, Rating changes, Event study, Yields, Liquidity, Trading frequency, Corporate 
	bond market, Commercial paper market.
Length: 28 pages 
Creation-Date: 2011 
Number: 2011-36
File-URL: https://eprints.ucm.es/id/eprint/13979/1/1136.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1136