Do Credit Watch Procedures Affect the Information Content of Sovereign Credit Rating Changes?

Posted: 13 Mar 2007

See all articles by Paula Hill

Paula Hill

University of Bristol

Robert W. Faff

University of Queensland

Date Written: September 14, 2007

Abstract

Very few studies to date have considered the market reaction to the announcement of credit watch procedures and the impact of credit watch procedures upon the market reaction to credit rating changes. This paper addresses this gap in the literature by focusing on credit watch procedures at the sovereign level. Our primary finding is that re-ratings which follow watch procedures are neither more nor less informative, and we conclude therefore that the credit watch procedure does not impact upon the private information of credit rating agencies. In addition we provide evidence on the types of sovereign state for which credit watch procedures are invoked and of the relative activities at the sovereign level of three major rating agencies.

Keywords: Credit rating, rating change, credit watch, information, sovereign

JEL Classification: G32

Suggested Citation

Hill, Paula and Faff, Robert W., Do Credit Watch Procedures Affect the Information Content of Sovereign Credit Rating Changes? (September 14, 2007). Available at SSRN: https://ssrn.com/abstract=968273

Paula Hill

University of Bristol ( email )

University of Bristol,
Senate House, Tyndall Avenue
Bristol, BS8 ITH
United Kingdom

Robert W. Faff (Contact Author)

University of Queensland ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Register to save articles to
your library

Register

Paper statistics

Abstract Views
997
PlumX Metrics
!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information