How Credit Rating Changes Impact on UK Stock Returns.

Tools

TSIANAKAS, KONSTANTINOS / KT (2017) How Credit Rating Changes Impact on UK Stock Returns. [Dissertation (University of Nottingham only)]

[thumbnail of Dissertation_4284635.pdf] PDF - Registered users only - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
Download (1MB)

Abstract

This research investigates the effects of credit rating changes on equity returns in the UK stock market. This dissertation was conducted using a sample of 152 actual rating changes released by Standard and Poor’s from the period 2000-2017, but not including new ratings and Watch List changes for the same time. After checking and clearing observations that were related with concurrent news, the results of this study show significant abnormal returns for Downgrades, whereas insignificant abnormal returns are found for Upgrades, especially near the announcement day, outputting that way similar results with Choy et al (2006). The findings also suggest that the type of rating change, and the type of industry of the firm, potentially impact on stock prices’ returns. Additionally, little evidence was found for determinants of abnormal returns.

Item Type: Dissertation (University of Nottingham only)
Depositing User: TSIANAKAS, KONSTANTINOS
Date Deposited: 11 Apr 2018 09:05
Last Modified: 17 Apr 2018 14:38
URI: https://eprints.nottingham.ac.uk/id/eprint/45869

Actions (Archive Staff Only)

Edit View Edit View