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The Impact of Credit Rating Disclosure on Company\'s Share Price

Student: Roman Ponomarev

Supervisor: Iuliia N. Naidenova

Faculty: Faculty of Economics, Management, and Business Informatics

Educational Programme: Economics (Bachelor)

Year of Graduation: 2018

Research aimed at studying the impact of disclosure of credit rating information is mainly conducted in developed markets, but there is interest in conducting such research in emerging markets. In this paper, the impact of credit rating disclosure on company share prices, on the developing stock market of the Russian Federation is considered. The work contains a description of previous studies related to the impact of credit rating disclosure on securities, as well as indicators of the capital structure of companies. The sample includes information on the prices of shares of 24 Russian joint-stock companies, market index values and news related to the assignment and change of credit ratings of these companies. In this paper, the "event study" is conducted, on the basis of which the yields of Russian companies' shares are analyzed and their reaction to the disclosure of news about the appropriation, raising or lowering of the credit rating of CRA Moosy's and S & P. In the course of the work, was found a significant impact of the credit rating events related to both raising and lowering on yield of company shares.

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