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Market reactions to the credit risk ...

Shin, Jungsoon.

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Market reactions to the credit risk announcements.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Market reactions to the credit risk announcements./
作者:	Shin, Jungsoon.
面頁冊數:	104 p.
附註:	Advisers: Kee Chung; Kenneth Kim.
Contained By:	Dissertation Abstracts International69-01A.
標題:	Business Administration, Banking. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3291588
ISBN:	9780549370925

Market reactions to the credit risk announcements.
Shin, Jungsoon.

Market reactions to the credit risk announcements. - 104 p.

Advisers: Kee Chung; Kenneth Kim.

Thesis (Ph.D.)--State University of New York at Buffalo, 2008.

Using the extensive datasets, we analyze the effect of credit rating announcements on the bond and stock liquidities. We show that the average transaction costs increases (decreases) after downgrade (upgrade) credit rating news events. We interpret these results as evidence that liquidities improve or deteriorate following upgrade or downgrade announcement. We also find more pronounced phenomenon among the lower credit rated securities. That is, securities with poorer credit quality respond more strongly to the news announcements. Lastly, we report that the watchlists announcement convey more information contents than real rating changes.

ISBN: 9780549370925Subjects--Topical Terms:

1018458
Business Administration, Banking.

Market reactions to the credit risk announcements.
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502 $a Thesis (Ph.D.)--State University of New York at Buffalo, 2008.
520 $a Using the extensive datasets, we analyze the effect of credit rating announcements on the bond and stock liquidities. We show that the average transaction costs increases (decreases) after downgrade (upgrade) credit rating news events. We interpret these results as evidence that liquidities improve or deteriorate following upgrade or downgrade announcement. We also find more pronounced phenomenon among the lower credit rated securities. That is, securities with poorer credit quality respond more strongly to the news announcements. Lastly, we report that the watchlists announcement convey more information contents than real rating changes.
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