Single Notch Versus Multi Notch Credit Rating Changes and the Business Cycle
Description:
Issuers’ credit ratings change by one or more notches when credit rating agencies provide new ratings. Unique to the literature, I study the influences affecting multi notch versus single notch rating upgrades and downgrades. For Standard & Poors data, I show that rating changes with multiple notches provide more information to the market than single notch rating changes. Consistent with prior literature on the business cycle, I show that investors value good news rating changes (upgrades) more…
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Date:
December 2015
Creator:
Poudel, Rajeeb
Partner:
UNT Libraries