We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...

We document a significant decline in the likelihood of firm-specific stock price crashes after the announcement of credit rating downgrades in 69 countries. This finding supports the argument that credit rating agencies (CRAs) contribute to the disseminating of negative information in the equity...

This paper attempts to investigate the impact of credit information sharing on bank-specific stock price crash risk. Using a sample of 1,402 listed-banks in 55 countries for the period 2005-2013, we show that credit information sharing through public credit registries is negatively associated...