Abstract

Can sovereign credit rating surprises affect asset prices dynamics ? This paper examines the impact of the unexpected component of sovereign credit rating announcements on sovereign yield spreads and stock market returns of the European Union. We identify the unexpected component of sovereign credit rating announcements and carry out an event study analysis in order to asses their impact on sovereign bond yield spreads and stock market returns. Most notably, we find that the unexpected component of sovereign credit ratings announcements affects sovereign yield spreads and stock market returns. In particular, negative surprises put upward pressure on sovereign bond yield spreads and stock market returns.
Original languageEnglish
Publication statusIn preparation - 2015

Fingerprint

Yield spread
Asset prices
Surprise
Credit rating
Price dynamics
Stock market returns
Announcement
Sovereign bonds
Bond yields
European Union
Event study analysis

Keywords

  • Credit Rating Agencies
  • Surprises

Cite this

@techreport{559cf0928bd1452f9ffcc2e1ecd5dc89,
title = "The Impact of Sovereign Credit Rating Surprises on Asset Price Dynamics in Europe",
abstract = "Can sovereign credit rating surprises affect asset prices dynamics ? This paper examines the impact of the unexpected component of sovereign credit rating announcements on sovereign yield spreads and stock market returns of the European Union. We identify the unexpected component of sovereign credit rating announcements and carry out an event study analysis in order to asses their impact on sovereign bond yield spreads and stock market returns. Most notably, we find that the unexpected component of sovereign credit ratings announcements affects sovereign yield spreads and stock market returns. In particular, negative surprises put upward pressure on sovereign bond yield spreads and stock market returns.",
keywords = "Credit Rating Agencies, Surprises",
author = "Alexandre Girard and {Bernal Diaz}, Oscar and Jean-Yves Gnabo",
year = "2015",
language = "English",
type = "WorkingPaper",

}

TY - UNPB

T1 - The Impact of Sovereign Credit Rating Surprises on Asset Price Dynamics in Europe

AU - Girard, Alexandre

AU - Bernal Diaz, Oscar

AU - Gnabo, Jean-Yves

PY - 2015

Y1 - 2015

N2 - Can sovereign credit rating surprises affect asset prices dynamics ? This paper examines the impact of the unexpected component of sovereign credit rating announcements on sovereign yield spreads and stock market returns of the European Union. We identify the unexpected component of sovereign credit rating announcements and carry out an event study analysis in order to asses their impact on sovereign bond yield spreads and stock market returns. Most notably, we find that the unexpected component of sovereign credit ratings announcements affects sovereign yield spreads and stock market returns. In particular, negative surprises put upward pressure on sovereign bond yield spreads and stock market returns.

AB - Can sovereign credit rating surprises affect asset prices dynamics ? This paper examines the impact of the unexpected component of sovereign credit rating announcements on sovereign yield spreads and stock market returns of the European Union. We identify the unexpected component of sovereign credit rating announcements and carry out an event study analysis in order to asses their impact on sovereign bond yield spreads and stock market returns. Most notably, we find that the unexpected component of sovereign credit ratings announcements affects sovereign yield spreads and stock market returns. In particular, negative surprises put upward pressure on sovereign bond yield spreads and stock market returns.

KW - Credit Rating Agencies

KW - Surprises

M3 - Working paper

BT - The Impact of Sovereign Credit Rating Surprises on Asset Price Dynamics in Europe

ER -