Pacheco, Luís (2011): Moody’s credit ratings and the stock market performance of Portuguese rated firms.
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Never has the issue of sovereign credit ratings attracted such an interest by policy and opinion makers, bankers and journalists, or even the public opinion, as witnessed in the last couple of years. In spite of being accused of contributing to the instability of financial markets, credit rating agencies have undoubtedly a role in financial markets, affecting its performance and guiding investor’s decisions. This paper analyzes the impact of the announcement of changes in Moody’s ratings over the performance of a set of rated firms quoted in the Portuguese stock market. Following an event study methodology, we collect ratings and outlook announcements by that major credit agency over the period 2006-2011. We find a significant response of share prices to changes in ratings, with that response anticipating the announcement. We think that could be explained by previous sovereign rating changes or to the contagion effects of a bearish market. When analyzing the period after January 2010, we observe a stronger reaction to announcements, which is understandable given the greater influence and market sensitivity to rating agencies.
|Item Type:||MPRA Paper|
|Original Title:||Moody’s credit ratings and the stock market performance of Portuguese rated firms|
|Keywords:||Credit Rating Agencies, Event Studies, Stock Market, Moody’s, Sovereign Debt Crisis, Portugal|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
G - Financial Economics > G1 - General Financial Markets > G10 - General
G - Financial Economics > G2 - Financial Institutions and Services > G24 - Investment Banking ; Venture Capital ; Brokerage ; Ratings and Ratings Agencies
|Depositing User:||Luis Pacheco|
|Date Deposited:||09. Feb 2012 14:41|
|Last Modified:||12. Feb 2013 14:13|
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