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

Title

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

Creator

Dawar G.; Bhatia S.; Bindal J.P.

Description

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. 2021 K. J. Somaiya Institute of Management.

Source

Business Perspectives and Research, Vol-11, No. 2, pp. 190-209.

Date

2023-01-01

Publisher

SAGE Publications Ltd

Subject

abnormal returns; Credit rating; credit rating agencies; downgrades and upgrades; event study; information efficiency; rating announcements

Coverage

Dawar G., Christ University, NCR Campus, Uttar Pradesh, Ghaziabad, India; Bhatia S., Indira Gandhi Delhi Technical University for Women, Delhi, India; Bindal J.P., Ingram Micro India Pvt Ltd, India

Rights

Restricted Access

Relation

ISSN: 22785337

Format

Online

Language

English

Type

Article

Identifier

https://doi.org/10.1177/22785337211033509

https://www.scopus.com/inward/record.uri?eid=2-s2.0-85113191468&doi=10.1177%2f22785337211033509&partnerID=40&md5=7951bd9bd4e877c1ebdb2213b959ad1f