Short-term stock returns following rating agencies announcements in large European firms
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/21884 |
Resumo: | Using Moody’s and S&P’s bond and credit watch announcements between 2007 and 2016, I have found inconsistent results comparing to prior literatures. Conducting an event study to analyse the stock market, no reliable abnormal returns following downgrades were found while significant returns were observed following upgrades. Nevertheless, for changes within speculative grade both downgrades and upgrades had reliable abnormal returns. An analysis over the global financial crisis shows that the market can anticipate the rating changes and further reacts after downgrade announcements. After the crisis period very significant abnormal returns are observed only for upgrade announcements. For changes in Outlook, the market also seems have had anticipated, but after positive announcements the market reacts in the opposite expected direction. The same occurs for negative outlook announcements after the crisis period. The main explanation for my results being inconsistent with prior studies relies on the global financial crisis started in 2007 when markets went down drastically. During the recovery from the global financial crisis, many stocks were underpriced making rating downgrades ineffective to stock prices changes and upgrade a set of good news to increase stock prices. |
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Short-term stock returns following rating agencies announcements in large European firmsDomínio/Área Científica::Ciências Sociais::Economia e GestãoUsing Moody’s and S&P’s bond and credit watch announcements between 2007 and 2016, I have found inconsistent results comparing to prior literatures. Conducting an event study to analyse the stock market, no reliable abnormal returns following downgrades were found while significant returns were observed following upgrades. Nevertheless, for changes within speculative grade both downgrades and upgrades had reliable abnormal returns. An analysis over the global financial crisis shows that the market can anticipate the rating changes and further reacts after downgrade announcements. After the crisis period very significant abnormal returns are observed only for upgrade announcements. For changes in Outlook, the market also seems have had anticipated, but after positive announcements the market reacts in the opposite expected direction. The same occurs for negative outlook announcements after the crisis period. The main explanation for my results being inconsistent with prior studies relies on the global financial crisis started in 2007 when markets went down drastically. During the recovery from the global financial crisis, many stocks were underpriced making rating downgrades ineffective to stock prices changes and upgrade a set of good news to increase stock prices.Usando publicações de rating de crédito e revisão de crédito das principais agências de rating Moody’s e S&P, foram encontrados algumas inconsistências nos resultados em relação à literatura existente. Levando a cabo um estudo de evento para analisar o mercado de acções, não foram encontrados retornos anormais significativos após reduções de ratings enquanto que após melhoria de ratings apresentam resultados anormais significativos. Contudo, numa análise somente com ratings especulativos, existem resultados anormais significativos tanto para reduções como para melhorias de rating. Durante a crise financeira global, os resultados mostram que os mercados antecipam as mudanças de rating e no caso das reduções, o mercado reage negativamente com resultados significativos. Após o período de crise, resultados significativos só são observados em melhorias de rating. Para mudanças de revisão de crédito, o mercado também mostrou antecipar-se às publicações, sendo que posteriormente às revisões positivas, o mercado reage de forma oposta às expectativas. O mesmo acontece para revisões negativas após o período de crise. A principal explicação para os meus resultados serem inconsistentes com estudos anteriores reside na crise financeira global onde os mercados caíram de forma drástica. Durante o período de recuperação, muitos mercados de acções encontravam-se subvalorizados tornando as publicações de redução de rating inefectivas aos preços das acções e as publicações de melhoria de rating um conjunto de boas notícias para o aumento do valor das acções.Bonfim, Diana Carina Ribeiro GuimarãesVeritati - Repositório Institucional da Universidade Católica PortuguesaLin, Jerson Li2017-03-21T14:46:04Z2017-02-1520172017-02-15T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/21884TID:201647427enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:28:01Zoai:repositorio.ucp.pt:10400.14/21884Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:18:12.662212Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Short-term stock returns following rating agencies announcements in large European firms |
title |
Short-term stock returns following rating agencies announcements in large European firms |
spellingShingle |
Short-term stock returns following rating agencies announcements in large European firms Lin, Jerson Li Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Short-term stock returns following rating agencies announcements in large European firms |
title_full |
Short-term stock returns following rating agencies announcements in large European firms |
title_fullStr |
Short-term stock returns following rating agencies announcements in large European firms |
title_full_unstemmed |
Short-term stock returns following rating agencies announcements in large European firms |
title_sort |
Short-term stock returns following rating agencies announcements in large European firms |
author |
Lin, Jerson Li |
author_facet |
Lin, Jerson Li |
author_role |
author |
dc.contributor.none.fl_str_mv |
Bonfim, Diana Carina Ribeiro Guimarães Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Lin, Jerson Li |
dc.subject.por.fl_str_mv |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Using Moody’s and S&P’s bond and credit watch announcements between 2007 and 2016, I have found inconsistent results comparing to prior literatures. Conducting an event study to analyse the stock market, no reliable abnormal returns following downgrades were found while significant returns were observed following upgrades. Nevertheless, for changes within speculative grade both downgrades and upgrades had reliable abnormal returns. An analysis over the global financial crisis shows that the market can anticipate the rating changes and further reacts after downgrade announcements. After the crisis period very significant abnormal returns are observed only for upgrade announcements. For changes in Outlook, the market also seems have had anticipated, but after positive announcements the market reacts in the opposite expected direction. The same occurs for negative outlook announcements after the crisis period. The main explanation for my results being inconsistent with prior studies relies on the global financial crisis started in 2007 when markets went down drastically. During the recovery from the global financial crisis, many stocks were underpriced making rating downgrades ineffective to stock prices changes and upgrade a set of good news to increase stock prices. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-03-21T14:46:04Z 2017-02-15 2017 2017-02-15T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/21884 TID:201647427 |
url |
http://hdl.handle.net/10400.14/21884 |
identifier_str_mv |
TID:201647427 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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info:eu-repo/semantics/openAccess |
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openAccess |
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application/pdf |
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reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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