The Price Impact of Rating Announcements: Evidence from the Credit Default Swap Market
12 Pages Posted: 7 May 2012 Last revised: 29 Sep 2013
Date Written: June 1, 2004
Rating announcements affect spreads on credit default swaps. The impact is more pronounced for negative reviews and downgrades than for outlook changes.
JEL Classification: G10, G14
Suggested Citation: Suggested Citation