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Long-run performance of sovereign rating changes

Bibliographic Details
Main Author: Correia, Claúdia
Publication Date: 2007
Other Authors: Ferreira, Miguel
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: http://hdl.handle.net/10362/14939
Summary: This paper examines the impact of Sovereign rating changes on the aggregate stock and bond market returns both in emerging and developed countries. Rating downgrades in emerging markets are associated with significant negative wealth effects both in the stock and bond markets. Moreover, the effects of rating downgrades persist up to six-months after the event. In contrast, upgrades in emerging markets convey no information. Rating changes in developed markets have no significant impact on either stock and bond market returns. Rating agencies act pro-cyclically, downgrading countries in bad times and, consequently, contributing to the instability in emerging markets.
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spelling Long-run performance of sovereign rating changesSovereign ratingsStock marketsBond marketsEvent studyThis paper examines the impact of Sovereign rating changes on the aggregate stock and bond market returns both in emerging and developed countries. Rating downgrades in emerging markets are associated with significant negative wealth effects both in the stock and bond markets. Moreover, the effects of rating downgrades persist up to six-months after the event. In contrast, upgrades in emerging markets convey no information. Rating changes in developed markets have no significant impact on either stock and bond market returns. Rating agencies act pro-cyclically, downgrading countries in bad times and, consequently, contributing to the instability in emerging markets.CMVMRUNCorreia, ClaúdiaFerreira, Miguel2015-05-13T11:14:59Z20072007-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10362/14939enginfo:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2024-05-22T17:18:33Zoai:run.unl.pt:10362/14939Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-28T16:49:36.132935Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Long-run performance of sovereign rating changes
title Long-run performance of sovereign rating changes
spellingShingle Long-run performance of sovereign rating changes
Correia, Claúdia
Sovereign ratings
Stock markets
Bond markets
Event study
title_short Long-run performance of sovereign rating changes
title_full Long-run performance of sovereign rating changes
title_fullStr Long-run performance of sovereign rating changes
title_full_unstemmed Long-run performance of sovereign rating changes
title_sort Long-run performance of sovereign rating changes
author Correia, Claúdia
author_facet Correia, Claúdia
Ferreira, Miguel
author_role author
author2 Ferreira, Miguel
author2_role author
dc.contributor.none.fl_str_mv RUN
dc.contributor.author.fl_str_mv Correia, Claúdia
Ferreira, Miguel
dc.subject.por.fl_str_mv Sovereign ratings
Stock markets
Bond markets
Event study
topic Sovereign ratings
Stock markets
Bond markets
Event study
description This paper examines the impact of Sovereign rating changes on the aggregate stock and bond market returns both in emerging and developed countries. Rating downgrades in emerging markets are associated with significant negative wealth effects both in the stock and bond markets. Moreover, the effects of rating downgrades persist up to six-months after the event. In contrast, upgrades in emerging markets convey no information. Rating changes in developed markets have no significant impact on either stock and bond market returns. Rating agencies act pro-cyclically, downgrading countries in bad times and, consequently, contributing to the instability in emerging markets.
publishDate 2007
dc.date.none.fl_str_mv 2007
2007-01-01T00:00:00Z
2015-05-13T11:14:59Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/14939
url http://hdl.handle.net/10362/14939
dc.language.iso.fl_str_mv eng
language eng
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eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv CMVM
publisher.none.fl_str_mv CMVM
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
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reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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