How much new information does a credit rating announcement convey to the financial markets? : A comparison before and after the 2008 global financial crisis

Background: The credit rating agencies have been heavily contested and criticized. In addition to this, other informational sources may potentially deliver the information that the CRA is intended to provide. This may have changed their role in reducing information asymmetry in the financial market. Purpose: This thesis will investigate (i) whether changes (upgrade/downgrade) in credit ratings lead to abnormal returns in share value, and thereby provide useful information to potential and current investors. The thesis will also (ii) examine whether there are significant differences between the periods before and after the GFC in 2008. Method: Regression based event study using a dummy-variable approach. Conclusions: No strong evidence that credit ratings have a significant effect on stock prices in the European stock market. Small indications that the market is responding more strongly to a rating change announcement during the period 2000-2008 compared to 2009-2019