出版社：Associação Nacional de Pós-Graduação e Pesquisa em Administração
其他摘要：Our objective is to examine whether a rating change or Credit Watch announcement ha s a significant impact on Latin American stock prices . We conduct ed an event study to analyze stock market reaction to such news in the four maj or Latin American economies : Argentina, Brazil, Chile and Mexico. We f ind 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 Watch es . We also run cross section regre ss ions 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 numbe r of notches for downgrades. We conclude that credit ratings are relevant information in Latin America.
关键词：Rating change announcement; Credit Watch; event study
