The Impact of Changes in the Credit Ratings on Stock Market

Student: Karmanov Alexey

Educational Programme: Economics (Bachelor)

Final Grade: 7

Year of Graduation: 2016

In this paper the impact of reting events on S&P 500 Index companies` stock prices was investigated. The crossectional analysis of the stock abnormal returns dependence on corporate factors (size, leverage, overvaluation) in the event-window was also conducted. 6 types of rating events were determined and the individual results for each of them received. Thus, the assumption of high level of variance between these event types, made as the research progressed, was confirmed. Such conclusion can serve as an indicator that we need to reevaluate current approach to rating events classification.

Full text (added May 11, 2016)

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