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The Impact of Credit Rating Announcements on European Listed Companies: A Comparison Before and During the 2008 Financial Crisis

Ali Dardour KEDGE Business School. Contact :

This paper focuses on differences of reaction of common stock returns to rating announcements for 231 exchange-listed European companies before and during the 2008 financial crisis. These ratings were announced by Standard & Poor’s from July 1 2005 to December 31 2008. The empirical analysis conducted from an event study by type of credit rating announcement shows that these announcements have an almost immediate impact on the stock returns. Depending on the nature of the announcement, we observe that investors construe differently the information content of ratings, especially when it comes to positive announcements. Robustness analysis confirms that rating agencies decisions have little impact on investors in times of crisis.

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L’auteur tient à remercier les évaluateurs anonymes de la Revue d’économie financière pour leurs commentaires et suggestions qui ont contribué à améliorer cet article. Il remercie également Jamil Jaballah, Christophe Faugère, Hubert Tchakouté et Catherine Micolino pour leur aide et leurs judicieux conseils.

1   Pour une revue historique, voir Degos et al. (2012).

2   Pour une revue, voir Norden et Weber (2004).

3   Pour une revue de cette méthode, voir Khotari et Warner (2006).

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