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Titel
Sovereign downgrade announcements and its impact on the stock market / submitted by Miguel Àngel Vergara
VerfasserVergara, Miguel Ángel
Betreuer / BetreuerinnenHauser, Florian
ErschienenInnsbruck, 06/2018
UmfangVIII, 56 Blätter : Illustrationen
HochschulschriftUniversität Innsbruck, Masterarbeit, 2018
Datum der AbgabeJuni 2018
SpracheEnglisch
DokumenttypMasterarbeit
Schlagwörter (DE)Sovereign / downgrade / stock market / rating agencies
Schlagwörter (EN)Sovereign / downgrade / stock market / rating agencies
Schlagwörter (GND)Ratingagentur / Kreditwürdigkeit / Staat / Aktienmarkt
URNurn:nbn:at:at-ubi:1-22257 Persistent Identifier (URN)
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Sovereign downgrade announcements and its impact on the stock market [0.41 mb]
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Zusammenfassung (Englisch)

This thesis analyses stock market reaction of European stock markets to sovereign credit rating downgrades by Fitch, Moodys and Standard and Poors (S&P) during the period from January 1998 to March 2018 using panel regression equations. We find that (i) downgrade announcements are associated with significant daily negative abnormal returns of -0.12%, (ii) downgrade announcements from Fitch, Moodys and S&P are associated with significant daily negative abnormal returns on the stock market with at least 5% confidence level, (iii) downgrade announcements within the speculative-grade group have a greater significant and negative effect than downgrades within the investment-grade group, (iv) downgrade announcements made in first instance are followed by negative abnormal returns (-0.12%), while second (-0.10%) and third actions (-0.02%) are associated with smaller negative abnormal returns, (v) during crises periods downgrade announcements are associated with stronger negative abnormal returns than in non-crises periods, (vi) the market anticipates downgrade announcements prior to the actual announcement day at a 10% confidence level and finally, (vii) downgrade announcements graded with negative Outlook/Watch are associated with stronger negative abnormal returns in the stock market than downgrade announcements graded with positive Outlook/Watch list at a 5% confidence level.

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