〈Articles〉The effect of rating change information on stock prices in Japan(商学編)

none【Contents】1.Introduction, 2.Methodology, 3.Data, 4.Analyses 4.1.Impact of Rating Changes; Time series analysis 4.2.Cross section analysis, 5.Conclusions【Abstract】Corporate ratings were originally known to investors as an index for the investment of fixed income securities. Such ratings ranked the degree of market risk of corporate bonds based on the public information. This paper aims to evaluate the communicative function of rating information by using the data of companies which are assigned corporate rating. The data consist of all companies listed on the Tokyo Stock Exchange with corporate rating given by Moody's, S & P, JCR and R & I. With regarding to the methodology, we examine the above communicative function by dividing two groups: those with increasing and decreasing leverage at the moment of announcement of rating changes. As the result, the market reaction to rating changes is divergent from each rating agency