Stock market reactions to credit rating change: New evidence

Mahfuza Malik, Pawan Jain, Abu Amin

Research output: Contribution to journalArticlepeer-review


This study shows how stock market reacts to rating change announcements where confounding effect of information spillover from related markets is absent. Contrary to existing literature, we find that the stock market reacts positively to a rating upgrade and no response to downgrade. Our analysis shows that pre-announcement cumulative abnormal returns can significantly predict announcement period abnormal return. Finally, we document a significant reduction in information asymmetry due to rating upgrade announcements affirming the recent policy initiatives.
Original languageEnglish
JournalAsia-Pacific Journal of Accounting and Economics
StatePublished - Jun 19 2018


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