Template-type: ReDIF-Paper 1.0
Author-Name: Pilar Abad Romero 
Author-Email: pabad@urjc.es
Author-Homepage: http://pabad.webs.uvigo.es/
Author-Person: pab62
Author-Workplace-Name: Departamento de Fundamentos del Análisis Económico. Universidad Rey Juan Carlos
Author-Workplace-Homepage: https://www.urjc.es/
Author-Name: María Dolores Robles Fernández
Author-Email: mdrobles@ccee.ucm.es
Author-Person: pro91
Author-Workplace-Name: Departamento de Fundamentos y Análisis Económico II. Universidad Complutense de Madrid.
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Title: Credit rating agencies and unsystematic risk: Is there a linkage?
Abstract: This study analyzes the effects of six different credit rating announcements on systematic and unsystematic
	risk in Spanish companies listed on the Electronic Continuous Stock Market from 1988 to 2010. We use an 
	extension of the event study dummy approach that includes direct effects on beta risk and on volatility. 
	We find effects in both kinds of risk, indicating that rating agencies provide information to the market. 
	Rating actions that imply an improvement in credit quality cause lower systematic and unsystematic risk. 
	Conversely, ratings announcements that imply credit quality deterioration cause a rebalance in both types 
	of risk, with higher beta risk being joined with lower diversifiable risk. Although the event characteristics
	were not important to determine how the two types of risk reacted to rating actions, the 2007 economic and 
	financial crises increase the market’s sensitivity to these characteristics.
Classification-JEL: G12, G14, G24, C22
Keywords: Credit rating agencies, Rating changes, Market model, GARCH, Stock Returns, Systematic risk, Unsystematic 
	The information provided by Fitch and Moody’s is appreciated. Any errors are solely the responsibility of 
	the authors. This work has been funded by the Spanish Ministerio de Ciencia y Tecnología (ECO2009-10398/ECON 
	and ECO2011-23959), Junta de Comunidades de Castilla-La Mancha (PCI08-0089) and Banco de Santander (UCM940063).
Length: 34 pages 
Creation-Date: 2012-07 
Number: 2012-17 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1217.txt
File-URL: https://eprints.ucm.es/id/eprint/15809/1/1217.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1217