News
08.04.2019
7th Spring MFS Conference - The final version of the program with the sessions, paper presentations and booklet is now available online
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26.03.2019
The Tel Aviv-Yaffo Academic College is pleased to invite you to The Third Israel Behavioral Finance Conference, which will take place on its Tel Aviv campus.
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05.03.2019
The hotel reservation form for the 26th Annual MFS Conference is now available online.
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Forthcoming MFJ Article
31.01.2019



Wealth Effects of Bond Rating Announcements

Yuriy Zabolotnyuk, Carleton University, Canada

This paper employs meta-analysis methodology to reconcile the diverse international empirical evidence on the effects of bond rating announcements on the stock prices of the issuing firms. The random-effects model meta-analysis of 53 published studies and 421 sub-samples of data covering a range of countries and 44,713 bond rating announcements reveals an average cumulative abnormal stock return of -1.64% associated with the bond downgrades and an average cumulative abnormal stock return of 0.28% associated with the bond upgrades. Factors such as initial bond rating, issuer location, announcement period, and rating change size have significant effects on the size of the abnormal stock returns around the rating announcement dates. 

Keywords:
 bond rating announcements; wealth effects; meta-analysis; information asymmetry

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