The Timing of Rating Changes

46 Pages Posted: 6 Apr 2017

See all articles by Pepa Kraft

Pepa Kraft

HEC Paris

Yuan Xie

Fordham University

Ling Zhou

University of New Mexico

Date Written: April 5, 2017

Abstract

This study examines whether and how a major credit rating agency, S&P, strategically times the release of rating changes in an intraday setting. We find that the proportion of downgrades announced after regular trading hours is higher than upgrades. We find that credit rating agencies are more likely to announce downgrades after hours when they have relatively larger consequences and are unexpected. Specifically, rating agencies are more likely to announce downgrades after hours for financial firms, whose business model depends on high ratings, and downgrades for firms not previously on the watch-list. We also find that agencies are more likely to announce downgrades after hours when they occur on days with many rating changes. Overall, our results support the idea that S&P announces downgrades after hours to facilitate information dissemination but not to hide bad news.

Suggested Citation

Kraft, Pepa and Xie, Yuan and Zhou, Ling, The Timing of Rating Changes (April 5, 2017). Available at SSRN: https://ssrn.com/abstract=2947230 or http://dx.doi.org/10.2139/ssrn.2947230

Pepa Kraft (Contact Author)

HEC Paris ( email )

Jouy-en-Josas
France
644161543 (Phone)

HOME PAGE: http://www.hec.edu/Faculty-Research/Faculty-Directory/KRAFT-Pepa2

Yuan Xie

Fordham University ( email )

441E Fordham Road
Bronx, NY 10458
United States

HOME PAGE: http://www.fordham.edu/info/22941/full-time_faculty/4970/yuan_xie

Ling Zhou

University of New Mexico ( email )

107 Humanitites Building
Albuquerque, NM 87131-1221
United States
(505)277-0335 (Phone)

Register to save articles to
your library

Register

Paper statistics

Downloads
112
Abstract Views
1,090
rank
244,928
PlumX Metrics