The (un)informative value of credit rating announcements in small markets

Zvika Afik; Itai Feinstein; Koresh Galil

doi:10.1016/j.jfs.2014.08.001

The (un)informative value of credit rating announcements in small markets

Zvika Afik, Itai Feinstein, Koresh Galil

Ben-Gurion University of the Negev

Research output: Contribution to journal › Article › peer-review

Abstract

This work examines the information value of local Israeli credit rating announcements. This matter is also important to other small markets, in which a debt issuer may take advantage of a "rating shopping" process or choose to avoid a rating procedure altogether, because the agencies do not carry out unsolicited rating. We analyze the bond and equity markets response to various rating announcements at different time periods. We find that except for downgrades in 2008-2009 the rating announcements have no information value. It seems that generally the market internalizes most of the information prior to the rating announcements.

Original language	English
Pages (from-to)	66-80
Number of pages	15
Journal	Journal of Financial Stability
Volume	14
DOIs	https://doi.org/10.1016/j.jfs.2014.08.001
State	Published - 1 Oct 2014

Keywords

Credit rating
Credit risk
Event study

All Science Journal Classification (ASJC) codes

Finance
General Economics,Econometrics and Finance

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10.1016/j.jfs.2014.08.001

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title = "The (un)informative value of credit rating announcements in small markets",

abstract = "This work examines the information value of local Israeli credit rating announcements. This matter is also important to other small markets, in which a debt issuer may take advantage of a {"}rating shopping{"} process or choose to avoid a rating procedure altogether, because the agencies do not carry out unsolicited rating. We analyze the bond and equity markets response to various rating announcements at different time periods. We find that except for downgrades in 2008-2009 the rating announcements have no information value. It seems that generally the market internalizes most of the information prior to the rating announcements.",

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doi = "10.1016/j.jfs.2014.08.001",

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AB - This work examines the information value of local Israeli credit rating announcements. This matter is also important to other small markets, in which a debt issuer may take advantage of a "rating shopping" process or choose to avoid a rating procedure altogether, because the agencies do not carry out unsolicited rating. We analyze the bond and equity markets response to various rating announcements at different time periods. We find that except for downgrades in 2008-2009 the rating announcements have no information value. It seems that generally the market internalizes most of the information prior to the rating announcements.

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KW - Event study

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JO - Journal of Financial Stability

JF - Journal of Financial Stability

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The (un)informative value of credit rating announcements in small markets

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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