Reactions of stock returns to Moody's bond rating changes: An event study on the stock market efficiency in Southeast Asian emerging markets: Thailand, Indonesia and Philippines
Conventional wisdom has given us the idea that markets are efficient as security prices and returns reflect all relevant information hence the efficient market hypothesis. However, recent studies on market efficiency show the contrary. Studies by Hand, et al. (1992), Taib, et al. (2006) and Micu, et...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2012
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/8990 |
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| Institution: | De La Salle University |
| Language: | English |
| Summary: | Conventional wisdom has given us the idea that markets are efficient as security prices and returns reflect all relevant information hence the efficient market hypothesis. However, recent studies on market efficiency show the contrary. Studies by Hand, et al. (1992), Taib, et al. (2006) and Micu, et al. (2006), found that when event such as rating changes occur, it results to abnormal return. Moreover, this study reveals that stock market reacts significantly to such changes, which means that it contains information that are not reflected in the prices (and returns). Along with this finding, our research examined how an emerging economy's stock market reacts to rating changes through event study. |
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