[PDF] Top 20 Credit ratings and stock markets : an event-study approach

... borrower’s credit worthiness, that is, their ability to repay their ...lender and the borrower. This reduction allowed, and still does, for a better screening of the borrowers and hence a more ... See full document

... Security and Government Affairs is one of the most widely cited argument for the 2008 bubble ...“as an investable asset class”, unequivocally affected the rapid increase in overall commodity prices from ... See full document

... remains an important task for both financial research as well as for applications in the financial ...Santis and Gerard, 1997; Shawky et al., 1997; Longin and Solnik, 1995, 2001) and has ... See full document

... Bohn and Crosbie contribute on this ...volatility and the default ...total- and short-term debt. When estimating the default trigger Bohn and Crosbie gives a lower weight to the long-term debt ... See full document

... firm and consequently it is an efficient way to study value creation (Martynova et ...we study the average reaction of the stock market to M&A ...(Campa and Hernando, 2004). ... See full document

... 25 credit conditions and launch a deleveraging process to minimise losses (Cunat, Cvijanovic, & Yuan, 2018; ...prices and bank stocks tread the same path (Hott, ...estate and stock ... See full document

... Moody’s, and Fitch has a major role in the markets since it might ease the placement of sovereign debt in the primary ...the credit rating works as an “insurance” against the likelihood of ... See full document

... September and is considered the worst month of the year Siegel ...indexes and considered two models for the study the OLS with the HAC estimator and the ...all markets in the F- ... See full document

... finance approach we study the impact of behavioral bias. We construct an artificial market consisting of fundamentalists and chartists to model the decision-making process of various ... See full document

... Billio and Caporin (2010) model the contemporaneous relationships among Asian and American stock markets using a simultaneous equation system with GARCH errors that captures variance ... See full document

... Billio and Caporin (2010) model the contemporaneous relationships among Asian and American stock markets using a simultaneous equation system with GARCH errors that captures variance ... See full document

... Keeffe and Gallagher (2017), conducted an interesting study and also one of the most recent studies in this field, for the period from 1989 to 2015, using as well stocks listed in the Athens ... See full document

... t-1 and t+1 in the adjusted measure of sovereign yields (in decimal points) spreads and CDS (in basis points) spreads during the occurrence of a rating event at time ...rating event for a ... See full document

... micro and macro levels (Host, Cvečić, & Zaninović, ...2001, and the Lehman Brothers case, in ...energy and banking sectors, ...investment-level ratings (Shorter & Seitzinger , ...had ... See full document

... the stock returns is observed after an outlook or credit review as it is to ...market and as Followill and Martell state “…rating agency review announcements for downgrades have ... See full document

... Cu˜nat (2007) argues that suppliers of inputs are partially insulated from moral haz- ard problems in trade credit transactions with most-favored customers. Intuitively, repeated sales allow suppliers to fill ... See full document

... Diagonal BEKK GARCH: Engle and Kroner (1995) proposed a class of multivariate GARCH models that are guaranteed to produce positive definite conditional covari- ance matrices.. In its fu[r] ... See full document

... separately and then introduces the financial crisis into the problematic, dividing the timeframe in 3 periods (analysis ...subsample and I am studying the impact of a rating upgrade or ...Value and ... See full document

... borrowers and lenders. The history of all requests and all loans is available to all participants of the ...amount and the promised ...in an unsecured, very risky informal loan. And ... See full document

... This study aims at empirically examining whether there are differences in stock returns between conventional and Islamic stock returns In Indonesia for the period ...This study also ... See full document