The Share Price Reaction During Corporate Bond Rating Revision

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Taib, H, Di Iorio, A, Hallahan, Terrence and Bissondoyal, B (2009) The Share Price Reaction During Corporate Bond Rating Revision. Journal of Business and Policy Research, 4 (2). pp. 170-188. ISSN 1449-387X


This paper analyses the informational value of corporate bond rating revision announced by Moody’s and Standard and Poor’s in the UK from 1997 to 2006. We focus on corporate bonds issued by UK local companies and use two market proxies, the FTSE All Share and the MSCI Europe Index. Implementing an event study, we find that in general a downgrade announcement is significant and contains additional information value. This evidence is consistent with the private information theory. However, when considering upgrade announcements our findings seem to support the efficient market hypothesis since there is little significant evidence that an announcement triggers a reaction in the market.

Item type Article
Official URL
Subjects Historical > Faculty/School/Research Centre/Department > School of Economics and Finance
Historical > FOR Classification > 1503 Business and Management
Keywords ResPubID23688, bond rating revision, rating reports, stock price, investments
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