Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements
Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements
复制标题
DOI：
10.1016/j.jbankfin.2004.06.011
复制
发表时间：
2004-11-01
影响因子：
3.7
通讯作者：
Weber, M
中科院分区：
文献类型：
--
作者：
Norden, L;Weber, M
本文分析了2000-2002年期间股票和信用违约互换（CDS）市场对三大评级机构评级公告的反应。应用事件研究方法，我们研究这些市场是否以及如何强烈地响应评级公告的异常回报率和调整后的CDS利差变化。首先，我们发现这两个市场不仅预期评级下调，而且还预期所有三家机构都会下调评级。其次，对机构内部和机构之间不同评级事件的综合分析表明，标准普尔和穆迪的降级审查对两个市场的影响最大。第三，这两个市场的异常表现程度受到旧评级水平、以前评级事件的影响，只有在CDS市场，受到所有机构事件前平均评级水平的影响。(C)2004 Elsevier B. V.保留所有权利。
This paper analyzes the response of stock and credit default swap (CDS) markets to rating announcements made by the three major rating agencies during the period 2000-2002. 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 down-grade 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 of all agencies. (C) 2004 Elsevier B.V. All rights reserved.