Determinants of trading activity after rating actions in the Corporate Debt Market
The influence of rating announcements on corporate debt market trading has been previously overlooked. Based on an event study, we examine the effects of the three types of announcements provided by credit rating agencies on abnormal trading volume and trading frequency in the Spanish corporate debt...
| Autores: | , , |
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| 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:20.500.14352/49041 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/49041 |
| Access Level: | acceso abierto |
| Palabra clave: | G12 G14 C34 Rating agencies Rating announcementes Trading volume Trading frequency Finanzas Econometría (Economía) 5302 Econometría |
| Sumario: | The influence of rating announcements on corporate debt market trading has been previously overlooked. Based on an event study, we examine the effects of the three types of announcements provided by credit rating agencies on abnormal trading volume and trading frequency in the Spanish corporate debt market. Additionally, by means of cross-section regressions, we establish what factors determine the sign and intensity of the trading reactions. The presented results indicate that factors related to the characteristics of the rating announcement, the issuing company and the economic environment are relevant in light of several hypotheses. |
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