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The Effect of Commercial Paper Rating Changes and Credit-Watch Placement on Common Stock Prices

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  • Elayan, Fayez A
  • Maris, Brian A
  • Young, Philip J

Abstract

The common stock price response to the announcement by Standard and Poor of CreditWatch placement and commercial paper re-ratings is examined. Results indicate a negative stock price response to negative placements on the CreditWatch list and to commercial paper rating reductions. A cross-sectional model is estimated to identify firm characteristics associated with the stock market response. Copyright 1996 by MIT Press.

Suggested Citation

  • Elayan, Fayez A & Maris, Brian A & Young, Philip J, 1996. "The Effect of Commercial Paper Rating Changes and Credit-Watch Placement on Common Stock Prices," The Financial Review, Eastern Finance Association, vol. 31(1), pages 149-167, February.
    • Handle: RePEc:bla:finrev:v:31:y:1996:i:1:p:149-67
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    Cited by:

    1. María Concepción Verona Martel & José Juan Déniz Mayor, 2011. "Las agencias de rating y la crisis fi nanciera de 2008: ¿El fi n de un poder sin control?," Revista Criterio Libre, Universidad Libre - Sede Principal, June.
    2. Yuriy Zabolotnyuk, 2018. "Wealth Effects of Bond Rating Announcements," Multinational Finance Journal, Multinational Finance Journal, vol. 22(3-4), pages 211-254, September.
    3. Chan, Pak To & Edwards, Vic & Walter, Terry, 2009. "The information content of Australian credit ratings: A comparison between subscription and non-subscription-based credit rating agencies," Economic Systems, Elsevier, vol. 33(1), pages 22-44, March.
    4. Götze, Tobias & Gürtler, Marc, 2020. "Hard markets, hard times: On the inefficiency of the CAT bond market," Journal of Corporate Finance, Elsevier, vol. 62(C).
    5. Goh, Jeremy C. & Ederington, Louis H., 1999. "Cross-sectional variation in the stock market reaction to bond rating changes," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 101-112.
    6. Uma V. Sridharan & Lori Dickes & W. Royce Caines, 2002. "The Social Impact of Business Failure: Enron," American Journal of Business, Emerald Group Publishing, vol. 17(2), pages 11-22.

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