We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield spreads in both segments of the corporate debt...

This study examines the existing relationship between announcements of debt rating changes for companies listed on the Spanish stock exchange and the liquidity of their stocks for the period of 2000 to 2010. Liquidity around the announcement day is analyzed using different liquidity measures...