This paper analyzes the importance of distinguishing between watch-preceded and direct rating changes for the credit default swap (CDS) market by examining a total of 2991 rating change announcements, 1526 watchlist placement announcements, and 430 rating affirmations following watchlist placements. The results show that watch-preceded downgrades do not lead to significant CDS market reactions, while direct downgrades are associated with a significant increase in CDS spread levels. Likewise, we document that watchlist placements for downgrade lead to increases in firms’ CDS spreads. CDS markets do not react to rating upgrades but watchlist placements for upgrade result in an immediate decrease in CDS spreads. Rating affirmations following w...
The study examines whether a change in credit rating results in a change in daily excess stock retur...
The paper examines how the initiation of credit default swaps (CDSs) influence the firm’s shareholde...
This paper seeks to investigate the reaction of credit ratings and credit markets in response to acc...
The purpose of this study is to investigate the relationship between rating changes of two American ...
Credit default swap spreads and credit ratings are two indicators and measures of credit risk. A cre...
This Paper analyses the response of stock and credit default swap (CDS) markets to rating announceme...
This paper studies the reactions of Credit Default Swap (CDS) to rating announcements. Credit rating...
Over the last four decades the literature on bond rating changes and its effects on security prices ...
We investigate time-varying credit risk information flow from the CDS market to the stock market for...
The thesis examines whether the role of credit rating prior to the announcement of credit rating cha...
In parallel with the development of credit derivatives market, researchers have begun to explore the...
This thesis investigates the effect of credit rating change announcements on stock returns. Most of ...
This study shows how stock market reacts to rating change announcements where confounding effects of...
The purpose of this study is to further deepen the knowledge surrounding credit rating announcements...
The global financial crisis brought increased attention to the importance of rating agencies and the...
The study examines whether a change in credit rating results in a change in daily excess stock retur...
The paper examines how the initiation of credit default swaps (CDSs) influence the firm’s shareholde...
This paper seeks to investigate the reaction of credit ratings and credit markets in response to acc...
The purpose of this study is to investigate the relationship between rating changes of two American ...
Credit default swap spreads and credit ratings are two indicators and measures of credit risk. A cre...
This Paper analyses the response of stock and credit default swap (CDS) markets to rating announceme...
This paper studies the reactions of Credit Default Swap (CDS) to rating announcements. Credit rating...
Over the last four decades the literature on bond rating changes and its effects on security prices ...
We investigate time-varying credit risk information flow from the CDS market to the stock market for...
The thesis examines whether the role of credit rating prior to the announcement of credit rating cha...
In parallel with the development of credit derivatives market, researchers have begun to explore the...
This thesis investigates the effect of credit rating change announcements on stock returns. Most of ...
This study shows how stock market reacts to rating change announcements where confounding effects of...
The purpose of this study is to further deepen the knowledge surrounding credit rating announcements...
The global financial crisis brought increased attention to the importance of rating agencies and the...
The study examines whether a change in credit rating results in a change in daily excess stock retur...
The paper examines how the initiation of credit default swaps (CDSs) influence the firm’s shareholde...
This paper seeks to investigate the reaction of credit ratings and credit markets in response to acc...