The influence of standard and poor’s ranking changes on stock price performance

This study examines the impact of Standard and Poor’s ranking changes on stock prices. If the ranking changes are not fully anticipated, we should observe abnormal return around the memorandum date. We focus particularly on those stocks whose ranking changes are in leap rather than in step. A stock whose ranking change from star one to five, two to five, five to two, three to one, etc., should experience significant abnormal returns around the date of announcement. Using the traditional market model, the study finds statistically significant abnormal returns on the announcement and surrounding dates. © MCB UP Limited 2002