Credit Rating Announcements Drive Market Response, Anticipating Downgrades and Reviews.
The article looks at how stock and credit markets react to credit rating announcements from major agencies. They found that both markets can predict rating downgrades and reviews for downgrades. Reviews for downgrade by Standard & Poor's and Moody's have the biggest impact. The markets' response is influenced by the old rating level, previous rating events, and the average rating level before the announcement.