Market impact under a new regulatory regime: Credit rating agencies in Europe

Alsakka, R., ap Gwilym, O., Klusak, P. and Tran, V. ORCID: https://orcid.org/0000-0001-9561-8118 (2015) Market impact under a new regulatory regime: Credit rating agencies in Europe. Economic Notes, 44 (2). pp. 275-308. ISSN 1468-0300 doi: 10.1111/ecno.12039

Abstract/Summary

We 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.

Item Type	Article
URI	https://reading-clone.eprints-hosting.org/id/eprint/88899
Identification Number/DOI	10.1111/ecno.12039
Refereed	Yes
Divisions	Henley Business School > Finance and Accounting
Publisher	Wiley
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