This paper examines the stock market impact of announcements of corporate bond rating revisions for companies in the United Kingdom (UK) and in Australia. Investigating the market reaction to bond rating changes by Moody's and Standard & Poor's, our findings reveal similar results for downgrade...

This study investigates the aggregate stock market impact of sovereign rating changes and compares three alternative techniques for the modelling framework, specifically, the market model, the quadratic market model, the downside model and a higher order downside model. Despite the differences...