Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
การศึกษาระดับนานาชาติเกี่ยวกับการเปลี่ยนแปลงอันดับความน่าเชื่อถือขององค์กร
Year (A.D.)
2021
Document Type
Independent Study
First Advisor
Tanakorn Likitapiwat
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2021.66
Abstract
This research aims to study the reaction of the International stock market around the corporate bond rating change announcements by Moody's between 2015-2021 using stocks and rating data from Datastream. The empirical result shows a significantly positive reaction after the upgrades announcement and a negative reaction around the downgrades event date. Specifically, the impact of rating changes on stock prices is larger around downgrades. The results imply that there is an information effect but no price pressure effect since there is a significant reaction in response to downgrades for all samples insignificance impact following downgrades for sub-sample of the changes across investment- or speculative-grade boundary. Furthermore, the absolute change in rating is statistically significantly related to the cumulative abnormal return.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Kantatasiri, Torfun, "International evidence on corporate rating changes" (2021). Chulalongkorn University Theses and Dissertations (Chula ETD). 7682.
https://digital.car.chula.ac.th/chulaetd/7682