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Krishna Reddy

" ABSTRACT
This study investigates whether a change in credit ratings lead to a change in daily excess stock returns. The sample includes daily stock price data for US firms listed on the Standard & Poors 500 from January 2006 to December 2015. Firms excess stock returns are compared with the market in a 14-day window around credit rating downgrades and upgrades. Our results are asymmetric, that is, there is a significant reaction to credit ratings downgrades ... "

Jakarta: Bank Indonesia Insitute , 2019

332 BEMP 21:3 (2019)

Artikel Jurnal  Universitas Indonesia Library

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