When ESG meets AAA: The effect of ESG rating changes on stock returns

2021 ◽  
pp. 102302
Author(s):  
Savva Shanaev ◽  
Binam Ghimire
Keyword(s):  
Stock Returns ◽  
Rating Changes

scholarly journals Do corporate bond rating revisions convey information about earnings and dividend changes?

2012 ◽  
Vol 9 (3) ◽  
pp. 373-393 ◽  
Author(s):  
Steven T. Anderson ◽  
Gurmeet Singh Bhabra ◽  
Harjeet S. Bhabra ◽  
Asjeet S. Lamba
Keyword(s):  
Stock Returns ◽  
Cash Flows ◽  
Corporate Bond ◽  
Bond Rating ◽  
Future Earnings ◽  
Rating Agencies ◽  
Abnormal Stock Returns ◽  
Rating Changes ◽  
Future Cash Flows ◽  
Rating Downgrades

We study the information content of corporate bond rating changes regarding future earnings and dividends. Consistent with previous findings, rating downgrades are associated with negative abnormal stock returns, while rating upgrades appear to be nonevents. For downgrades, earnings decline in the two years prior to and the year of the rating change announcement but increase in the year after the rating review. We also find that rating downgrades are followed by a subsequent downward adjustment in dividends. While rating upgrades follow a period of rising earnings, they do not signal any increase in future earnings and no subsequent dividend adjustments are observed. Overall, our results indicate that rating agencies respond more to permanent changes in cash flows and provide little information, if any, about future cash flows.

An Investigation of the Short-Run and Long-Run Stock Returns Surrounding Insurer Rating Changes

2016 ◽  
Vol 85 (1) ◽  
pp. 35-67 ◽  
Author(s):  
Leon Chen ◽  
Jennifer J. Gaver ◽  
Steven W. Pottier
Keyword(s):  
Stock Returns ◽  
Long Run ◽  
Short Run ◽  
Rating Changes ◽  
Insurer Rating

scholarly journals Effect of credit rating changes on Australian stock returns

2006 ◽  
Vol 46 (5) ◽  
pp. 755-769 ◽  
Author(s):  
Elisa Choy ◽  
Stephen Gray ◽  
Vanitha Ragunathan
Keyword(s):  
Stock Returns ◽  
Credit Rating ◽  
Rating Changes

scholarly journals Bank Rating Changes and Bank Stock Returns: Puzzling Evidence From the Emerging Markets

1999 ◽  
Vol 99 (151) ◽  
pp. 1 ◽  
Author(s):  
Anthony J. Richards ◽  
David Deddouche ◽  
◽  
Keyword(s):  
Emerging Markets ◽  
Stock Returns ◽  
Bank Stock Returns ◽  
Bank Stock ◽  
Rating Changes

Does Credit Rating Revisions Affect the Price of Common Stock: A Study of Indian Capital Market

2021 ◽  
pp. 227853372110335
Author(s):  
Gaurav Dawar ◽  
Shivangi Bhatia ◽  
Jai Parkash Bindal
Keyword(s):  
Stock Returns ◽  
Capital Market ◽  
Stock Return ◽  
Credit Rating ◽  
Stock Exchange ◽  
Critical Factor ◽  
Event Window ◽  
Share Prices ◽  
Abnormal Stock Returns ◽  
Rating Changes

The current investigation aims to assess the effect of credit assessment changes on the share prices of Indian companies from 2009 to 2019. The data of top 100 companies listed on National Stock Exchange (NSE) across 10 industries stem from CMIE databases. The excess stock return is compared with the market in a 15-day window around credit rating changes. The event effect on share prices is more in the pre-event window compared to the post-event window. Positive abnormal stock returns around upgrades through downgrades are statistically significant compared to upgrades. Credit ratings are not significant across industries, and agency nationality is a critical factor for calculating the intensity of price reaction.

Preferred Stock Returns, CreditWatch, and Preferred Stock Rating Changes

1990 ◽  
Vol 25 (2) ◽  
pp. 265-285 ◽  
Author(s):  
James W. Wansley ◽  
Fayez A. Elayan ◽  
Brian A. Maris
Keyword(s):  
Stock Returns ◽  
Preferred Stock ◽  
Rating Changes

Pro-Cyclical Effect of Sovereign Rating Changes on Stock Returns: A Fact or Factoid?

2017 ◽  
Author(s):  
Yasir Riaz ◽  
Choudhry Tanveer Tanveer Shehzad ◽  
Zaghum Umar
Keyword(s):  
Stock Returns ◽  
Rating Changes
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