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Market reactions to the credit risk ...

Shin, Jungsoon.

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Market reactions to the credit risk announcements.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Market reactions to the credit risk announcements./
Author:	Shin, Jungsoon.
Description:	104 p.
Notes:	Advisers: Kee Chung; Kenneth Kim.
Contained By:	Dissertation Abstracts International69-01A.
Subject:	Business Administration, Banking. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3291588
ISBN:	9780549370925

Market reactions to the credit risk announcements.
Shin, Jungsoon.

Market reactions to the credit risk announcements. - 104 p.

Advisers: Kee Chung; Kenneth Kim.

Thesis (Ph.D.)--State University of New York at Buffalo, 2008.

Using the extensive datasets, we analyze the effect of credit rating announcements on the bond and stock liquidities. We show that the average transaction costs increases (decreases) after downgrade (upgrade) credit rating news events. We interpret these results as evidence that liquidities improve or deteriorate following upgrade or downgrade announcement. We also find more pronounced phenomenon among the lower credit rated securities. That is, securities with poorer credit quality respond more strongly to the news announcements. Lastly, we report that the watchlists announcement convey more information contents than real rating changes.

ISBN: 9780549370925Subjects--Topical Terms:

1018458
Business Administration, Banking.

Market reactions to the credit risk announcements.
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020 $a 9780549370925
035 $a (UMI)AAI3291588
035 $a AAI3291588
040 $a UMI $c UMI
100 1 $a Shin, Jungsoon. $3 1273035
245 1 0 $a Market reactions to the credit risk announcements.
300 $a 104 p.
500 $a Advisers: Kee Chung; Kenneth Kim.
500 $a Source: Dissertation Abstracts International, Volume: 69-01, Section: A, page: 0274.
502 $a Thesis (Ph.D.)--State University of New York at Buffalo, 2008.
520 $a Using the extensive datasets, we analyze the effect of credit rating announcements on the bond and stock liquidities. We show that the average transaction costs increases (decreases) after downgrade (upgrade) credit rating news events. We interpret these results as evidence that liquidities improve or deteriorate following upgrade or downgrade announcement. We also find more pronounced phenomenon among the lower credit rated securities. That is, securities with poorer credit quality respond more strongly to the news announcements. Lastly, we report that the watchlists announcement convey more information contents than real rating changes.
590 $a School code: 0656.
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, Finance. $3 626650
690 $a 0508
690 $a 0770
710 2 $a State University of New York at Buffalo. $b Finance and Managerial Economics. $3 1273036
773 0 $t Dissertation Abstracts International $g 69-01A.
790 $a 0656
790 1 0 $a Chung, Kee, $e advisor
790 1 0 $a Kim, Kenneth, $e advisor
791 $a Ph.D.
792 $a 2008
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3291588