Credit watch placement and security price behavior around bond rating revisions

• Main Authors: CHIYACHANTANA, Chiraphol N., Manitkajornkit, Eakapat, Taechapiroontong, Nareerat
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: credit rating agency; credit watch placement; bond rating; abnormal returns; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5312; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6311/viewcontent/imfi_en_2014_01_Chiyachantana.pdf
• Institution: Singapore Management University

This study examines the informational role of credit watch placement in the overall bond rating process from 1992 to 2006. The paper uses standard event study to examine the market reaction of the whole process of credit rating change which includes credit watch placement, transitional period, and a...