| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4237 |
| DP4237 Are all those Calling Plans Really Necessary? The Limited Gains From Complex Tariffs | |
| Eugenio Miravete | |
| 发表日期 | 2004-02-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This Paper analyses the response of stock and credit default swap (CDS) markets to rating announcements by the three major rating agencies during 2000-02. Applying event study methodology, we examine whether and how strongly these markets respond to rating announcements in terms of abnormal returns and adjusted CDS spread changes. First, we find that both markets not only anticipate rating downgrades but also reviews for downgrade by all three agencies. Second, a combined analysis of different rating events within and across agencies reveals that reviews for downgrade by Standard & Poor?s and Moody?s exhibit the largest impact on both markets. Third, the magnitude of abnormal performance in both markets is influenced by the level of the old rating, previous rating events and, only in the CDS market, by the pre-event average rating level by all agencies. |
| 主题 | Financial Economics |
| 关键词 | Credit ratings Credit default swaps Informational efficiency Event study |
| URL | https://cepr.org/publications/dp4237 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533204 |
| 推荐引用方式 GB/T 7714 | Eugenio Miravete. DP4237 Are all those Calling Plans Really Necessary? The Limited Gains From Complex Tariffs. 2004. |
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