Hubler, Jérôme; Louargant, Christine; Ory, Jean-Noël; … - In: The European Journal of Finance 20 (2014) 11, pp. 1008-1036
This article analyses the effect of rating agencies' decisions on stock risks for European issuers concerning five kinds of events. Our approach is an extension of dummy variable regression event study methodology, using a GARCH(1,1) estimation to capture simultaneously the impact on both...