The price impact of rating announcements: evidence from the credit default swap market

BIS Quarterly Review  | 
14 June 2004
by Marian Micu, Eli M Remolona and Philip Wooldridge
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  |  12 pages

Rating announcements affect spreads on credit default swaps. The impact is more pronounced for negative reviews and downgrades than for outlook changes.

JEL classification: G10, G14.