Effect of Credit Rating Changes on Australian Stock Returns
15 Pages Posted: 17 Nov 2006
Abstract
We study the impact credit rating revisions have on stock returns of Australian firms rated by Standard & Poor's and Moody's. Our evidence is consistent with that documented in the USA showing that only downgrades contain price-relevant information. The reaction is most significant when the downgrade: (i) is unanticipated; (ii) is for an unregulated firm; and (iii) reduces the firm's rating by more than one category.
Suggested Citation: Suggested Citation
Duke University - Fuqua School of Business
Box 90120
Durham, NC 27708-0120
United States
Financial Research Network (FIRN) ( email )
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
Financial Research Network (FIRN) ( email )
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
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Effect of Credit Rating Changes on Australian Stock Returns
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