The price impact of rating announcements
Subtitle: which announcements matter?
By: by Marian Micu, Eli Remolona and Philip Wooldridge.
Contributors: Remolona, Eli M.; Wooldridge, Philip D.; Bank for International Settlements. Monetary and Economic Dept.
Series: BIS working papers -- no. 207
Publisher: Bank for International Settlements
Published: 2006
Place of publication: Basel, Switzerland
Language: eng
Format: Electronic resource
Description: Credit rating agencies make multiple announcements, some of which are intended to reflect the latest information available about a firm and others of which are intended to provide a stable signal of credit quality. Using data on CDS spreads, we examine which of these different types of rating announcements contains pricingrelevant information. We find that all types, including changes in outlook, have a significant impact on CDS spreads. Even rating announcements preceded by similar announcements have an impact. The price impact is greatest for firms with split ratings, smallcap firms and firms rated near the threshold of investment grade.
Notes: Title from PDF file (viewed on Sept. 27, 2006).

"Monetary and Economic Department."

"June 2006."

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.