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2017 | 18 | 3 | 418-428
Article title

INFORMATION VALUE OF THE CREDIT RATING ON THE CREDIT DEFAULT SWAPS MARKET

Content
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Languages of publication
EN
Abstracts
EN
The paper examines the impact of the countries’credit ratings changes on the cost of credit defaults swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies. It is has been put the hipothesis that ratings events convey new information and lead to significant abnormal reactions. The study used the ratings assigned by Standard &Poor's and Moody's for the period from January 2005 to November 2015 and spreads for five-year senior unsecured CDS. To verify the hypothesis the event study method (by daily data) is applied.
Contributors
  • Faculty of Management, Warsaw University, Poland
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.desklight-07c9bf87-ae41-4794-b8f5-44839fd68eb3
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