The Credit Ratings Announcement Effect in Japan
The Credit Ratings Announcement Effect in Japan
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日本的信用评级公布效果
DOI：
10.2139/ssrn.431000
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发表时间：
2004
期刊：
影响因子：
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通讯作者：
Michael Mollemans
中科院分区：
文献类型：
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作者：
Michael Mollemans
这是第一个比较美国评级机构(S和穆迪)和日本评级机构(R&I和JCR)评级变更公告效应的研究。我们的研究表明，S和JCR的评级变更公告后存在显著的异常回报反应，而穆迪和R&I却没有。其次，我们提供了一个新的多元回归模型，量化了关键变量对评级变更公告效应的影响程度。最后，我们回顾和批评了金融文献中讨论过的各种可供选择的解释变量。
This is the first study that compares the ratings change announcement effect between American ratings agencies (S&P and Moody's) and Japanese ratings agencies (R&I and JCR). Our study shows significant abnormal return responses following rating change announcements by S&P and JCR, but not from Moody's and R&I. Secondly, we provide a new multivariate regression model that quantifies the impact that key variables have on the strength of the ratings change announcement effect. Finally, we review and critique a variety of alternative explanatory variables that have been discussed in the financial literature.