The impact of credit rating changes in Latin American stock markets
Our objective is to examine whether a rating change or Credit Watch announcement has a significant impact on Latin American stock prices. We conducted an event study to analyze stock market reaction to such news in the four major Latin American economies: Argentina, Brazil, Chile and Mexico. We find similar results to those previously observed in the literature, wherein the impact is quite significant for rating downgrades but less relevant for rating upgrades and Credit Watches. We also run cross section regressions to investigate which variables best explain the impact rating changes announcements have on stock prices in these countries. The results indicate that the most significant variable is the absolute change in the number of notches for downgrades. We conclude that credit ratings are relevant information in Latin America.
Main Authors: | Freitas,Abner de Pinho Nogueira, Minardi,Andrea Maria Accioly Fonseca |
---|---|
Format: | Digital revista |
Language: | English |
Published: |
ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração
2013
|
Online Access: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1807-76922013000400005 |
Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
-
Terrorism and Latin-American Stocks Markets
by: Magner,Nicolás S., et al.
Published: (2019) -
Credit Rating Change and Capital Structure in Latin America
by: Rogers,Dany, et al.
Published: (2016) -
Rating changes and the impact on stock prices
by: Baraccat,Bruno Borges, et al.
Published: (2020) -
The impact of the global financial crisis on the efficiency and performance of Latin American stock markets
by: Zhu,Zhenzhen, et al.
Published: (2019) -
Market Conditions and the Exit Rate of Private Equity Investments in an Emerging Economy
by: Minardi,Andréa Maria Accioly Fonseca, et al.
Published: (2019)