A Note on the Information Content of Standard & Poor's Common Stock Ranking Changes
Central Michigan University - Department of Finance and Law
University of Arkansas - Sam M. Walton College of Business
University of Arkansas - Department of Finance
August 1, 1991
Financial Management, 1992, Vol. 21, No. 2, pp. 9-10.
This study examines the information content of Standard & Poor's common stock ranking changes. Since prior studies find Standard & Poor's common stock rankings provide investors with a measure of risk, a ranking change may signify a change in risk. Common stock ranking changes made by Standard & Poor's may provide investors with a low-cost means of predicting the direction of future market risk. Internal memoranda containing ranking changes from June 1985 through May 1987 were obtained directly from Standard & Poor's. Using a sample of 191 upgrades and 582 downgrades, results indicate that mean portfolio betas change following Standard & Poor's memorandum dates for ranking changes.
Number of Pages in PDF File: 6
Keywords: Standard & Poor's, Stock Guide, common stock rankings, market risk
JEL Classification: G12, G14
Date posted: February 20, 2013