文章基本信息

标题：The Impact of Credit Rating Changes in Latin American Stock Markets
本地全文：下载
作者：Abner de Pinho Nogueira Freitas ; Andrea Maria Accioly Fonseca Minardi
期刊名称：BAR - Brazilian Administration Review
印刷版ISSN：1807-7692
电子版ISSN：1807-7692
出版年度：2013
卷号：10
期号：4
页码：439-461
语种：English
出版社：Associação Nacional de Pós-Graduação e Pesquisa em Administração
其他摘要：Our objective is to examine whether a rating change or Credit Watch announcement ha s a significant impact on Latin American stock prices . We conduct ed an event study to analyze stock market reaction to such news in the four maj or Latin American economies : Argentina, Brazil, Chile and Mexico. We f ind similar results to those previously observed in the literature , wherein the impact is quite significant for rating downgrades but less relevant for rating upgrades and Credit Watch es . We also run cross section regre ss ions to investigate which variables best explain the impact rating changes announcements have on stock prices in these countries. The results indicate that the most significant variable is the absolute change in the numbe r of notches for downgrades. We conclude that credit ratings are relevant information in Latin America.
关键词：Rating change announcement; Credit Watch; event study