The Impact of Credit Rating Changes in Latin American Stock Markets
| Autor | Abner de Pinho Nogueira Freitas - Andrea Maria Accioly Fonseca Minardi |
| Cargo | Insper Instituto de Ensino e Pesquisa - Insper Instituto de Ensino e Pesquisa |
Available online at
http://www.anpad.org.br/bar
BAR, Rio de Janeiro, v. 10, n. 4, art. 4,
pp. 439-461, Oct./Dec. 2013
The Impact of Credit Rating Changes in Latin American
Stock Markets
Abner de Pinho Nogueira Freitas
E-mail address: abnerfreitas@gmail.com
Insper Instituto de Ensino e Pesquisa
Av. Higienopolis, 15, apto. 173P, 01238-001, São Paulo, SP, Brazil.
Andrea Maria Accioly Fonseca Minardi
E-mail address: minardi@insper.edu.br
Insper Instituto de Ensino e Pesquisa
Rua Quata, 300, Vila Olimpia, 04546-042, São Paulo, SP, Brazil.
Received 10 June 2012; received in revised form 8 April 2013; accepted 26 June 2013; published
online 1st October 2013.
Editor’s note. Ricardo Pereira Câmara Leal served as Associate Editor for this article.
A. de P. N. Freitas, A. M. A. F. Minardi 440
BAR, Rio de Janeiro, v. 10, n. 4, art. 4, pp. 439-461, Oct./Dec. 2013 www.anpad.org.br/bar
Abstract
Our objective is to examine whether a rating change or Credit Watch announcement has a significant impact on
Latin American stock prices. We conducted an event study to analyze stock market reaction to such news in the
four major Latin American economies: Argentina, Brazil, Chile and Mexico. We find similar results to those
previously observed in the literature, wherein the impact is quite significant for rating downgrades but less
relevant for rating upgrades and Credit Watches. We also run cross section regressions to investigate which
variables best explain the impact rating changes announcements have on stock prices in these countries. The
results indicate that the most significant variable is the absolute change in the number of notches for
downgrades. We conclude that credit ratings are relevant information in Latin America.
Key words: rating change announcement; Credit Watch; event study.
Para continuar a ler
PEÇA SUA AVALIAÇÃO
COPYRIGHT TV Trade Media, Inc.
COPYRIGHT GALE, Cengage Learning. All rights reserved.
COPYRIGHT GALE, Cengage Learning. All rights reserved.
