{"product_id":"do-rating-announcements-convey-new-information-an-event-study-on-credit-default-swap-spreads-von-jan-klobucnik","title":"Do Rating Announcements convey new Information?","description":"\u003cp\u003eDiploma Thesis from the year 2010 in the subject Economics - Statistics and Methods, grade: 1,3, University of Tubingen, language: English, abstract: Rating agencies play an important role on the capital markets; however, during the financial crisis 2007-2009 people began to question how good their assessments of credit quality really are. In my study, I empirically examine the effect of rating announcements from Standard \u0026amp; Poor¿s on the Credit Default Swap (CDS) Market. It contributes to the field of rating agencies¿ performance measurement. Based on Event Study Methodology and recent CDS data, I detect virtually no significant abnormal spread\u003c\/p\u003e\u003cp\u003echange at the announcement date neither for downgrades nor upgrades. However, the CDS show some anticipation prior to the event especially for downgradings. Considering the rating date, I find evidence for an asymmetric reaction where downgrades cause stronger movement in the spreads. As a result, it seems as if rating changes do not convey a great part of new information to the markets. At the same time, the significant anticipation indicates that the CDS market processes information more efficiently.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783640662449\"\u003e\u003ch3\u003eAn Event Study on Credit Default Swap Spreads\u003c\/h3\u003e\u003c\/div\u003e","brand":"Libri","offers":[{"title":"Softcover - 9783640662449","offer_id":39441547984989,"sku":"9783640662449","price":27.95,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/a78f96fa-5c9d-432e-a706-1f4dff4129ce.jpg?v=1777696875","url":"https:\/\/shop.autorenwelt.de\/products\/do-rating-announcements-convey-new-information-an-event-study-on-credit-default-swap-spreads-von-jan-klobucnik","provider":"Autorenwelt Shop","version":"1.0","type":"link"}