Template-type: ReDIF-Paper 1.0
Author-Name: Pilar Abad
Author-Email: pabad@urjc.es
Author-Person: pab62 
Author-Homepage: http://pabad.webs.uvigo.es/
Author-Workplace-Name: Universidad Rey Juan Carlos, Paseo Artilleros s/n, 28032 Madrid, Spain and RFA-IREA. 
Author-Workplace-Homepage: https://www.urjc.es/
Author-Name: M. Dolores Robles
Author-Email: mdrobles@ccee.ucm.es
Author-Person: pro91 
Author-Workplace-Name: Universidad Complutense de Madrid and ICAE, Campus de Somosaguas, 28223 Madrid, Spain. 
Author-Workplace-Homepage: https://www.ucm.es/icae
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Author-Name: Gare Cuervo
Title: Changes in Corporate Debt Ratings and Stock Liquidity: Evidence from the Spanish Market
Abstract: This study examines the existing relationship between announcements of debt rating changes for companies 
	listed on the Spanish stock exchange and the liquidity of their stocks for the period of 2000 to 2010. 
	Liquidity around the announcement day is analyzed using different liquidity measures proposed by the equity 
	market literature. The study also examines the factors that determine the intensity of the announcement’s 
	effect on liquidity. The evidence shows that both positive and negative announcements (of improvement and 
	decline in credit rating) lead to an increase in liquidity, which is anticipated by the market in both cases.
	Regarding the factors that determine intensity, it is observed that investors combine the information 
	included in the announcement with the characteristics of the issuing company. Still, the recent economic and 
	financial crisis, in which the role of the rating agencies has been greatly questioned, has not changed the 
	intensity of these effects on liquidity.
Classification-JEL: G12, G14, G24
Keywords: Credit rating agencies, Rating changes, Liquidity, Event study.
Length: 32 pages 
Creation-Date: 2013-03
Number: 2013-11 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1311.txt
File-URL: https://eprints.ucm.es/id/eprint/20022/2/1311.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1311