Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159904
Authors: 
Marandola, Ginevra
Mossucca, Rossella
Year of Publication: 
2016
Series/Report no.: 
Quaderni - Working Paper DSE 1066
Abstract: 
This paper studies the stock market response to corporate downgrades by S&P, Moody's and Fitch between 1999 and 2011. The empirical evidence shows that cumulative abnormal returns around downgrades become significantly smaller (in absolute value) after the release in 2003 of the Securities and Exchange Commission's Report on credit rating agencies. The Report addresses concerns related to the agencies and marks a turning point in the attitude of U.S. regulators towards a more critical approach. This has a strong impact on investors that respond by reacting less to downgrades.
JEL: 
G14
G24
G28
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

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