The Credit Rating Announcement Effect in Japan

82 Pages Posted: 19 Aug 2004

See all articles by Michael Mollemans

Michael Mollemans

Macquarie University - Department of Economics

Date Written: August 31, 2003

Abstract

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

Suggested Citation

Mollemans, Michael, The Credit Rating Announcement Effect in Japan (August 31, 2003). Available at SSRN: https://ssrn.com/abstract=466261 or http://dx.doi.org/10.2139/ssrn.466261

Michael Mollemans (Contact Author)

Macquarie University - Department of Economics ( email )

Division of Economic and Financial Studies
Building C5C 308
Sydney NSW 2109
Australia
212-307-4923 (Phone)
212-261-2507 (Fax)

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