摘要：This study examines the impact of credit rating announcement on stock returns of 22 banks rated by the Pakistan Credit Rating Agency and listed in Karachi Stock Exchange. Daily stock returns have been used, covering period from 2008 to 2014. The study uses event study methodology; a fifteen days event window has been created to examine the effects of credit rating announcement on Karachi Stock Exchange stock returns. The study finds that credit rating announcement has no significant impact on sample banks' abnormal stock returns. This study also documents the reaction of stock returns to the upgrade and downgrade announcement of credit rating. The study reveals that downgrade announcement show significant positive response, whereas the upgrade announcement provides insignificant negative response.
