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On the effect of credit rating announcements on sovereign bonds: International evidence
16 references·2 citing·43 second hop
On the effect of credit rating announcements on sovereign bonds: International evidence (2020)On the effect of credit rating announceme…The interactive relationship between the US economic policy uncertainty and BRIC stock markets (2016)The interactive relationship …Does data frequency matter for the impact of forward premium on spot exchange rate? (2015)Does data frequency matter fo…Sovereign credit ratings and financial markets linkages: Application to European data (2012)Sovereign credit ratings and …How resilient and countercyclical were emerging economies during the global financial crisis? (2012)How resilient and countercycl…The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004)The relationship between cred…The national market impact of sovereign rating changes (2003)The national market impact of…Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns? (2002)Emerging Market Instability: …Boom and Bust and Sovereign Ratings (1999)Boom and Bust and Sovereign R…Emerging Market Risk and Sovereign Credit Ratings (1997)Emerging Market Risk and Sove…Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders? (1993)Is a Bond Rating Downgrade Ba…The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)The Effect of Bond Rating Age…The effect of bond rating changes on common stock prices (1986)The effect of bond rating cha…Common Stock Returns and Rating Changes: A Methodological Comparison (1982)Common Stock Returns and Rati…The effect of a rating change announcement on bond price (1977)The effect of a rating change…The Differential Effects of Bond Rating Changes Among Industrial and Public Utility Bonds by Maturity (1976)The Differential Effects of B…THE PRICE ADJUSTMENT PROCESS OF BONDS TO RATING RECLASSIFICATIONS: A TEST OF BOND MARKET EFFICIENCY (1974)THE PRICE ADJUSTMENT PROCESS …The relationship between the Covid-19 media coverage and the Environmental, Social and Governance leaders equity volatility: a time-frequency wavelet analysis (2021)The relationship between the …Faith-based investments and the Covid-19 pandemic: Analyzing equity volatility and media coverage time-frequency relations (2021)Faith-based investments and t…Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Does sovereign debt ratings news spill over to international stock markets? (2007)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)The reaction of emerging market credit default swap spreads to sovereign credit rating changes (2010)The Econometrics of Financial Markets (2012)The Euro Area Sovereign Debt Crisis: Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal (2012)The Adjustment of Stock Prices to New Information (1969)Risk, Return, and Equilibrium: Empirical Tests (1973)THE INFORMATIONAL CONTENT OF BOND RATINGS (1987)The Effect of Bond-Rating Changes on Bond Price Performance (1997)Bank monitoring and the pricing of corporate public debt1We thank Atul Gupta, Robyn McLaughlin, Tim Mech, David P. Simon, and especially Bill Schwert (the editor), and Peggy Wier (the referee) for their valuable comments. The third author acknowledges partial financial support from the Babcock Summer Research Program. The usual disclaimer applies.1 (1999)The Adjustment of Stock Prices to New Information (2003)Estimating betas from nonsynchronous data (1977)Anomalies in relationships between securities' yields and yield-surrogates (1978)Timeliness of Reporting and the Stock Price Reaction to Earnings Announcements (1984)Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements (2004)The Economics of Structured Finance (2009)How did increased competition affect credit ratings? (2011)An Empirical Evaluation of Accounting Income Numbers (1968)Stock Price Reactions to The Wall Street Journal's Securities Recommendations (1990)Bond ratings, bond yields and financial information* (1992)An analysis of the determinants of sovereign ratings (2004)Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test (1976)Determinants and Impact of Sovereign Credit Ratings (1996)Credit Ratings as Coordination Mechanisms (2005)Determinants and Impact of Sovereign Credit Ratings (2007)Using daily stock returns (1985)Event-study methodology under conditions of event-induced variance (1991)Currency crashes in emerging markets: An empirical treatment (1996)Sovereign credit ratings, capital flows and financial sector development in emerging markets (2007)Formulation and estimation of dynamic models using panel data (1982)Capital Inflows and Real Exchange Rate Appreciation in Latin America: The Role of External Factors (1993)International Momentum Strategies (1998)News spillovers in the sovereign debt market (2005)Political Rights and the Cost of Debt (2008)The Real Effects of Credit Ratings: The Sovereign Ceiling Channel (2016)The Econometrics of Financial Markets (1997)How Sovereign Is Sovereign Credit Risk? (2011)Contagion During the Greek Sovereign Debt Crisis (2012)Credit Default Swaps: A Survey (2014)The Credit Ratings Game (2009)Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads (2008)Corporate bond liquidity before and after the onset of the subprime crisis (2011)
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References

  • 2004The relationship between credit default swap spreads, bond yields, and credit rating announcements1,008 cited
  • 1992The Effect of Bond Rating Agency Announcements on Bond and Stock Prices1,002 cited
  • 1986The effect of bond rating changes on common stock prices734 cited
  • 1993Is a Bond Rating Downgrade Bad News, Good News, or No News for Stockholders?512 cited
  • 2002Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?399 cited
  • 2012Sovereign credit ratings and financial markets linkages: Application to European data375 cited
  • 2003The national market impact of sovereign rating changes303 cited
  • 1999Boom and Bust and Sovereign Ratings290 cited
  • 1977The effect of a rating change announcement on bond price288 cited
  • 1982Common Stock Returns and Rating Changes: A Methodological Comparison216 cited
  • 1997Emerging Market Risk and Sovereign Credit Ratings204 cited
  • 2016The interactive relationship between the US economic policy uncertainty and BRIC stock markets182 cited
  • 1974THE PRICE ADJUSTMENT PROCESS OF BONDS TO RATING RECLASSIFICATIONS: A TEST OF BOND MARKET EFFICIENCY180 cited
  • 2012How resilient and countercyclical were emerging economies during the global financial crisis?156 cited

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1976
The Differential Effects of Bond Rating Changes Among Industrial and Public Utility Bonds by Maturity
153 cited
  • 2015Does data frequency matter for the impact of forward premium on spot exchange rate?139 cited
  • Cited by

    • 2021The relationship between the Covid-19 media coverage and the Environmental, Social and Governance leaders equity volatility: a time-frequency wavelet analysis85 cited
    • 2021Faith-based investments and the Covid-19 pandemic: Analyzing equity volatility and media coverage time-frequency relations72 cited