Title
Bond Review and Rating Change Announcements: An Examination of Informational Value and Market Efficiency
Document Type
Review
Publication Date
1-1-1997
Description
This paper examines the impact of announcements of both bond rating reviews and rating changes on equity returns. We find that announcements of review for possible down grading of debt have a significant negative effect on stock prices while subsequent actual downgrades have a negligible impact. Further, we find that press releases convey new information to the market whereas the subsequent reporting of this information in the financial press causes little market reaction. We conclude that extreme care regarding details of the dissemination of financial information must be exercised in any event study.
Citation Information
Followill, Richard A.; and Martell, Terrence. 1997. Bond Review and Rating Change Announcements: An Examination of Informational Value and Market Efficiency. Journal of Economics and Finance. Vol.21(2). 75-82. https://doi.org/10.1007/BF02920766 ISSN: 1055-0925