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: Universidad Rey Juan Carlos. Departamento de Fundamentos del Análisis Económico. 
Author-Workplace-Homepage: https://www.urjc.es/
Author-Name: Maria Dolores Robles Fernández
Author-Email: mdrobles@ccee.ucm.es
Author-Person: pro91 
Author-Workplace-Name: Universidad Complutense de Madrid and ICAE. Departamento de Fundamentos del Análisis Económico II 
	(Economía Cuantitativa).
Author-Workplace-Homepage: https://www.ucm.es/icae
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Title: The Risk-Return binomial after rating changes 
Abstract: Risk-averse investors take into consideration risk-return tradeoff for decide their new position after the release of 
	relevant information. This paper analyzes the informational content of rating change announcements focusing on the joint 
	reaction they cause on the risk-return binomial. Our purpose is to identify the main factors that signal which 
	announcements are informative. To do that we estimate a binomial logit model for the probability of informative content of 
	credit rating announcements. We analyze a sample of rating events affecting Spanish listed firms from 2000 to 2010. 
	Empirical results show significant differences in the informative content between positive and negative rating events. For 
	both kinds of announcements, we find higher informative content when agencies agree about the new level of solvency, 
	whereas those affecting high covered firm that operate in highly regulated sectors are the less informative. Other factors 
	as the presence of a previous rating refinements or trends in the credit quality reveals different information depending 
	on the direction of the rating event. Finally, we find the announcements after de crisis disclose less information, 
	suggesting a loss of reputation of CRAs.
Classification-JEL: G12, G14, G24, C22.
Keywords: Abnormal return, Abnormal systematic risk, Abnormal volatility, Logit model.
Length: 38 pages 
Creation-Date: 2014-07 
Number: 2014-23 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1423.txt
File-URL: https://eprints.ucm.es/id/eprint/26434/1/1423.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1423