The impact of credit rating changes in Latin American stock markets

Detalhes bibliográficos
Autor(a) principal: Freitas,Abner de Pinho Nogueira
Data de Publicação: 2013
Outros Autores: Minardi,Andrea Maria Accioly Fonseca
Tipo de documento: Artigo
Idioma: eng
Título da fonte: BAR - Brazilian Administration Review
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922013000400005
Resumo: Our objective is to examine whether a rating change or Credit Watch announcement has a significant impact on Latin American stock prices. We conducted an event study to analyze stock market reaction to such news in the four major Latin American economies: Argentina, Brazil, Chile and Mexico. We find 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 Watches. We also run cross section regressions 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 number of notches for downgrades. We conclude that credit ratings are relevant information in Latin America.
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spelling The impact of credit rating changes in Latin American stock marketsrating change announcementCredit Watchevent studyOur objective is to examine whether a rating change or Credit Watch announcement has a significant impact on Latin American stock prices. We conducted an event study to analyze stock market reaction to such news in the four major Latin American economies: Argentina, Brazil, Chile and Mexico. We find 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 Watches. We also run cross section regressions 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 number of notches for downgrades. We conclude that credit ratings are relevant information in Latin America.ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração2013-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922013000400005BAR - Brazilian Administration Review v.10 n.4 2013reponame:BAR - Brazilian Administration Reviewinstname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)instacron:ANPAD10.1590/S1807-76922013000400005info:eu-repo/semantics/openAccessFreitas,Abner de Pinho NogueiraMinardi,Andrea Maria Accioly Fonsecaeng2013-10-18T00:00:00Zoai:scielo:S1807-76922013000400005Revistahttp://www.scielo.br/scielo.php?script=sci_serial&pid=1807-7692&lng=pt&nrm=isohttps://old.scielo.br/oai/scielo-oai.php||bar@anpad.org.br1807-76921807-7692opendoar:2013-10-18T00:00BAR - Brazilian Administration Review - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)false
dc.title.none.fl_str_mv The impact of credit rating changes in Latin American stock markets
title The impact of credit rating changes in Latin American stock markets
spellingShingle The impact of credit rating changes in Latin American stock markets
Freitas,Abner de Pinho Nogueira
rating change announcement
Credit Watch
event study
title_short The impact of credit rating changes in Latin American stock markets
title_full The impact of credit rating changes in Latin American stock markets
title_fullStr The impact of credit rating changes in Latin American stock markets
title_full_unstemmed The impact of credit rating changes in Latin American stock markets
title_sort The impact of credit rating changes in Latin American stock markets
author Freitas,Abner de Pinho Nogueira
author_facet Freitas,Abner de Pinho Nogueira
Minardi,Andrea Maria Accioly Fonseca
author_role author
author2 Minardi,Andrea Maria Accioly Fonseca
author2_role author
dc.contributor.author.fl_str_mv Freitas,Abner de Pinho Nogueira
Minardi,Andrea Maria Accioly Fonseca
dc.subject.por.fl_str_mv rating change announcement
Credit Watch
event study
topic rating change announcement
Credit Watch
event study
description Our objective is to examine whether a rating change or Credit Watch announcement has a significant impact on Latin American stock prices. We conducted an event study to analyze stock market reaction to such news in the four major Latin American economies: Argentina, Brazil, Chile and Mexico. We find 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 Watches. We also run cross section regressions 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 number of notches for downgrades. We conclude that credit ratings are relevant information in Latin America.
publishDate 2013
dc.date.none.fl_str_mv 2013-12-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
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dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922013000400005
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922013000400005
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S1807-76922013000400005
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
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dc.publisher.none.fl_str_mv ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração
publisher.none.fl_str_mv ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração
dc.source.none.fl_str_mv BAR - Brazilian Administration Review v.10 n.4 2013
reponame:BAR - Brazilian Administration Review
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repository.name.fl_str_mv BAR - Brazilian Administration Review - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
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