• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Short and Long-Term Impact of Credit Rating Changes on Stock Return: Observation from Russian Market

Student: Kim Konstantin

Supervisor: Victor A Lapshin

Faculty: International College of Economics and Finance

Educational Programme: Financial Economics (Master)

Year of Graduation: 2019

This work focuses on the short- and long-term relationship between companies’ stock returns and corresponding credit rating changes during the particular time period. The econometrics model of such effect augmented with additional controlled factors have been estimated in this thesis work. The main result is that there only a weak evidence of relationship between credit rating quality and firm stock returns in the data set which contains companies that were traded on the Moscow Exchange from 2015 to 2019 years. In addition, it was found that relationship only holds for firms with investment grade ratings. Finally, there are negative excess returns associated with downgrade of credit rating, while no evidence of any excess returns for the upgrade of credit rating. Nevertheless, obtained results can be contributed to the literature devoted to market research and returns forecasting as well as other researches regarding the credit ratings of banks and other counterparties in financial markets, including being the basis for solving a wide range of problems in the portfolio risk management.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses