Effect of Credit Rating Changes on Australian Stock Returns

15 Pages Posted: 17 Nov 2006

See all articles by Elisa Choy

Elisa Choy

Carnegie, Wylie & Company Pty Ltd

Stephen Gray

University of Queensland - Business School; Duke University - Fuqua School of Business; Financial Research Network (FIRN)

Vanitha Ragunathan

University of Queensland - Business School; Financial Research Network (FIRN)

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

Choy, Elisa and Gray, Stephen and Ragunathan, Vanitha, Effect of Credit Rating Changes on Australian Stock Returns. Accounting and Finance, Vol. 46, No. 5, pp. 755-769, December 2006. Available at SSRN: https://ssrn.com/abstract=945482 or http://dx.doi.org/10.1111/j.1467-629X.2006.00192.x

Elisa Choy (Contact Author)

Carnegie, Wylie & Company Pty Ltd ( email )

Level 45, Citigroup Centre
2 Park Street
Sydney NSW 2000
Australia

HOME PAGE: http://www.carnegiewylie.com/template.asp ?cid=1.154

Stephen Gray

University of Queensland - Business School ( email )

University of Queensland
Brisbane, Queensland 4072
Australia

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

Vanitha Ragunathan

University of Queensland - Business School ( email )

Brisbane, Queensland 4072
Australia
(07) 3365 8204 (Phone)
(07) 3365 6988 (Fax)

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

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