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Investment Grade, Asset Prices and Changes in the Source of Systematic Risk

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  • Bruno Giovannetti
  • Mauro Rodrigues, Eduardo Ros

Abstract

Global institutional investors face constraints, in the form of either external regulations or internal firm policies, with regard to investing in countries rated speculative grade. As a consequence, when a country receives (loses) its investment-grade status, a significant inflow (outflow) of foreign investment is likely to occur and, thus, a global portfolio should increase (diminish) in importance as a source of systematic risk for stocks traded in that country. We study how stock prices behave around such events. Our results are consistent with theory

Suggested Citation

  • Bruno Giovannetti & Mauro Rodrigues, Eduardo Ros, 2014. "Investment Grade, Asset Prices and Changes in the Source of Systematic Risk," Working Papers, Department of Economics 2014_05, University of São Paulo (FEA-USP).
    • Handle: RePEc:spa:wpaper:2014wpecon5
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    References listed on IDEAS

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    More about this item

    Keywords

    Investment grade; Systematic risk; Asset pricing;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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