Volatility Change and Abnormal Return around Rating Announcement

Abstract

In this paper we test the effects of rating announcements on systematic risk and abnormal return in Tunisian stocks from 1997 to 2010. We find effects on volatility, risk, and abnormal return around announcements dates indicating that rating agencies provide new information to the market. All types of rating announcements (upgrades/downgrades, reviews and outlook reports), whether positive or negative, have a significant impact on risk and stock price.

Keywords: Abnormal Returns, Event Study, Rating, Volatility

Article Review Status: Published

Pages: 50-57 (Download PDF)

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