Business, Management and Accounting
4 years ago

Credit rating changes impact stock volatility, banks' market share crucial.

Journal of Commerce and Management Thought
Monitoring Abnormality in Returns Around Credit Rating Announcements
Amitesh Kapoor, Sakshi Sachdeva, Ashima Gupta

Paper Summary

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Credit ratings can impact stock volatility, especially during downgrades. Banks with higher market share see more positive returns after an upgrade, while those with lower market share see the opposite. This suggests that credit ratings can lead to abnormal returns within a specific timeframe.