Effect of credit rating changes on Australian stock returns

被引：25

作者：

Choy, Elisa ^{[1
]}

Gray, Stephen ^{[1
]}

Ragunathan, Vanitha ^{[1
]}

机构：

[1] Univ Queensland, UQ Business Sch, Brisbane, Qld 4072, Australia

来源：

ACCOUNTING AND FINANCE | 2006年 / 46卷 / 05期

基金：

澳大利亚研究理事会;

关键词：

Credit ratings; Event study;

D O I：

10.1111/j.1467-629x.2006.00192.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study the impact credit rating revisions have on stock returns of Australian firms rated by Standard & Poor's and Moody's. Our evidence is consistent with that documented in the USA showing that only downgrades contain price-relevant information. The reaction is most significant when the downgrade: (i) is unanticipated; (ii) is for an unregulated firm; and (iii) reduces the firm's rating by more than one category.

引用

页码：755 / 769

页数：15

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