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- W2611785822 abstract "Abstract This study examines stock market reactions to public announcements (corporate bond rating changes), including changes in stock prices and investor behavior in terms of trading volumes and patterns. Abnormal returns, abnormal volumes, and net order imbalances are estimated using high-quality stock transaction data from Korean firms, whose bonds were rated by Korea's leading credit rating agencies between 2000 and 2015. We find positive (negative) abnormal stock returns around upgrades (downgrades), although the stock price reactions to downgrades are more statistically significant than those to upgrades. Significant abnormal volumes and order imbalances are found around rating changes, and the extent to which each investor group (domestic individuals, domestic institutions, or foreign investors) reacts to a rating change varies. Our analyses also support that foreign and domestic institutional investors are better informed than individual investors." @default.
- W2611785822 created "2017-05-12" @default.
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- W2611785822 creator A5016597693 @default.
- W2611785822 creator A5020969387 @default.
- W2611785822 creator A5058915608 @default.
- W2611785822 date "2017-09-01" @default.
- W2611785822 modified "2023-10-18" @default.
- W2611785822 title "Information asymmetry and investor trading behavior around bond rating change announcements" @default.
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- W2611785822 doi "https://doi.org/10.1016/j.ememar.2017.05.004" @default.
- W2611785822 hasPublicationYear "2017" @default.
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