The Credit Ratings Announcement Effect in Japan
82 Pages Posted: 12 Sep 2003
Date Written: January 5, 2004
This is the first study that compares the ratings change announcement effect between American ratings agencies (S&P and Moody's) and Japanese ratings agencies (R&I and JCR). Our study shows significant abnormal return responses following rating change announcements by S&P and JCR, but not from Moody's and R&I. Secondly, we provide a new multivariate regression model that quantifies the impact that key variables have on the strength of the ratings change announcement effect. Finally, we review and critique a variety of alternative explanatory variables that have been discussed in the financial literature.
Keywords: Credit Rating, Japan, Event Study
JEL Classification: G10, G12, G14, G20
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