Please use this identifier to cite or link to this item: https://repositorio.insper.edu.br/handle/11224/3955
Type: Artigo Científico
Title: The Impact of Credit Rating Changes in Latin American Stock Markets
Author: Freitas, Abner de Pinho Nogueira
Minardi, Andrea Maria Accioly Fonseca
Publication Date: 2013
Original Abstract: Our objective is to examine whether a rating change or Credit Watch announcement has a significant impact on Latin American stock prices. We conducted an event study to analyze stock market reaction to such news in the four major Latin American economies: Argentina, Brazil, Chile and Mexico. We find similar results to those previously observed in the literature, wherein the impact is quite significant for rating downgrades but less relevant for rating upgrades and Credit Watches. We also run cross section regressions to investigate which variables best explain the impact rating changes announcements have on stock prices in these countries. The results indicate that the most significant variable is the absolute change in the number of notches for downgrades. We conclude that credit ratings are relevant information in Latin America
Keywords in original language : rating change announcement
Credit Watch
event study
Language: Inglês
CNPq Area: Ciências Exatas e da Terra
URI: https://bar.anpad.org.br/index.php/bar/article/view/228
Copyright: O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.
Appears in Collections:Coleção de Artigos Científicos

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