Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence

We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield spreads in both segments of the corporate debt market a...

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Detalles Bibliográficos
Autores: Abad Romero, Pilar, Díaz, Antonio, Robles Fernández, María Dolores
Tipo de recurso: informe técnico
Fecha de publicación:2011
País:España
Institución:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:inglés
OAI Identifier:oai:docta.ucm.es:20.500.14352/49040
Acceso en línea:https://hdl.handle.net/20.500.14352/49040
Access Level:acceso abierto
Palabra clave:Credit rating agencies
Rating changes
Event study
Yields
Liquidity
Trading frequency
Corporate bond market
Commercial paper market.
Finanzas
Econometría (Economía)
5302 Econometría
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oai_identifier_str oai:docta.ucm.es:20.500.14352/49040
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repository_id_str
spelling Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish EvidenceAbad Romero, PilarDíaz, AntonioRobles Fernández, María DoloresCredit rating agenciesRating changesEvent studyYieldsLiquidityTrading frequencyCorporate bond marketCommercial paper market.FinanzasEconometría (Economía)5302 EconometríaWe test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield spreads in both segments of the corporate debt market after reviews of downgrades and negative outlook reports. In addition, we find that certain rating announcements encourage trading activity even when the information is not pricing-relevant. The release of information arouses investor interest for the involved securities. Thus, trading frequency increases, although larger-sized transactions, which should denote possible portfolio rebalancing, are not observed. In the commercial paper note market, we also find that that trading volumes fade away after reviews for downgrade. Investors seem to prefer reducing the trading of these short-term securities to liquidating their positions.Instituto Complutense de Análisis Económico. Universidad Complutense de MadridUniversidad Complutense de Madrid20112011-01-0120112011-01-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/49040reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2Atribución-NoComercial 3.0 Españahttps://creativecommons.org/licenses/by-nc/3.0/es/info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/490402026-06-02T12:44:21Z
dc.title.none.fl_str_mv Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
title Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
spellingShingle Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
Abad Romero, Pilar
Credit rating agencies
Rating changes
Event study
Yields
Liquidity
Trading frequency
Corporate bond market
Commercial paper market.
Finanzas
Econometría (Economía)
5302 Econometría
title_short Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
title_full Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
title_fullStr Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
title_full_unstemmed Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
title_sort Credit Rating Announcements, Trading Activity and Yield Spreads: The Spanish Evidence
dc.creator.none.fl_str_mv Abad Romero, Pilar
Díaz, Antonio
Robles Fernández, María Dolores
author Abad Romero, Pilar
author_facet Abad Romero, Pilar
Díaz, Antonio
Robles Fernández, María Dolores
author_role author
author2 Díaz, Antonio
Robles Fernández, María Dolores
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv Credit rating agencies
Rating changes
Event study
Yields
Liquidity
Trading frequency
Corporate bond market
Commercial paper market.
Finanzas
Econometría (Economía)
5302 Econometría
topic Credit rating agencies
Rating changes
Event study
Yields
Liquidity
Trading frequency
Corporate bond market
Commercial paper market.
Finanzas
Econometría (Economía)
5302 Econometría
description We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield spreads in both segments of the corporate debt market after reviews of downgrades and negative outlook reports. In addition, we find that certain rating announcements encourage trading activity even when the information is not pricing-relevant. The release of information arouses investor interest for the involved securities. Thus, trading frequency increases, although larger-sized transactions, which should denote possible portfolio rebalancing, are not observed. In the commercial paper note market, we also find that that trading volumes fade away after reviews for downgrade. Investors seem to prefer reducing the trading of these short-term securities to liquidating their positions.
publishDate 2011
dc.date.none.fl_str_mv 2011
2011-01-01
2011
2011-01-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/49040
url https://hdl.handle.net/20.500.14352/49040
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial 3.0 España
https://creativecommons.org/licenses/by-nc/3.0/es/
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
Atribución-NoComercial 3.0 España
https://creativecommons.org/licenses/by-nc/3.0/es/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
publisher.none.fl_str_mv Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869404510637522944
score 15,811543

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