| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8743 |
| DP8743 Sovereign Debt Rating Changes and the Stock Market | |
| Alexander Michaelides; Andreas Milidonis | |
| 发表日期 | 2012 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | Using event studies we find statistically and economically significant, negative daily abnormal stock market returns prior to sovereign debt rating downgrade announcements. Instrumental variable techniques show that these findings are more pronounced in countries with lower institutional quality. Our analysis of the frequency and content of news shows that results cannot be explained away by unrelated, concurrent bad news. Instead, we find support for the explanation of leakage, which could take the form of leaked private information to a group of investors, but could also take the form of a rumor that eventually appears in the public domain. |
| 主题 | Financial Economics |
| 关键词 | Trmi Event studies Institutional quality. International finance Sovereign ratings |
| URL | https://cepr.org/publications/dp8743 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537579 |
| 推荐引用方式 GB/T 7714 | Alexander Michaelides,Andreas Milidonis. DP8743 Sovereign Debt Rating Changes and the Stock Market. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
