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- W2783751525 abstract "This article examines the effect of changes in sovereign credit ratings and their outlook on the stock market returns of European countries at different phases of business cycle. Using standard four-factor model, it records a significant average marginal effect of credit rating announcements on stock market returns. Both magnitude and significance of the effect vary with business cycle and across announcement types. However, we do not find evidence of pro-cyclical effect of sovereign rating and outlook changes on stock returns. Our results show that stock markets react more negatively to rating downgrades in recovery phases and more positively to rating upgrades in contractionary period. Both results are statistically significant and robust to various sensitivity tests." @default.
- W2783751525 created "2018-01-26" @default.
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- W2783751525 date "2018-10-13" @default.
- W2783751525 modified "2023-10-17" @default.
- W2783751525 title "Pro-cyclical effect of sovereign rating changes on stock returns: a fact or factoid?" @default.
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- W2783751525 doi "https://doi.org/10.1080/00036846.2018.1527465" @default.
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