Market impact under a new regulatory regime: Credit rating agencies in Europe
Alsakka, R., ap Gwilym, O., Klusak, P. and Tran, V.
It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1111/ecno.12039 Abstract/SummaryWe investigate whether there are any identifiable differences in market perceptions of rating news released by Moody’s, S&P and Fitch following the establishment of a new regulatory regime in July 2011, when the European Securities and Markets Authority assumed responsibility for rating agencies’ regulation in Europe. We focus the analysis on the impact of bank rating actions on stock returns and volatility during 2008-2013. Among the intended effects of the new regulatory regime are reduced market impact of rating actions and enhanced market stability, yet we find very mixed evidence. Differentials in market responses across CRAs are identified.
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