2013
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Revista Brasileira de Finanças
Flávia Cruz de Souza Murcia et al., « The Informational Content of Credit Ratings in Brazil: An Event Study », Revista Brasileira de Finanças, ID : 10670/1.4qame5
"This study analyzes the effect of credit rating announcemen ts on stock returns in the Brazilian market during 1997-2011. We conducted an even t study using a sample of 242 observations of listed companies, 179 from Sta ndard and Poor’s and 63 from Moody’s, to analyze stock market reaction. Abnor mal returns have been computed using the Market Model and CAPM for three windo ws: three days (-1, +1), 11 days (-5, +5) and 21 days (-10, +10). We find statis tically significant abnormal returns in days -1 and 0 for all the three types of rat ing announcement tested: initial rating, downgradesand upgrades. For downg rades, consistently with prior studies, our results also showed negative abnormal re turns for practically all windows tested. Overall, our findings evidence that rati ng announcements do have information content, as it impacts stock returns causi ng abnormal returns, especially when they bring ’bad news’ to the market."