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.
The Effect of Earnings Announcement on Share Price of Manufacturing Companies on the Ghana Stock Exchange (Published)
It has been well documented in developed Capital markets that stock prices react to earnings announcement. This research therefore investigated the effect earnings announcement on market price of manufacturing firms on the Ghana Stock Exchange. The event study methodology was adopted for this study because it examines the effect of information on stocks. With a 21 days window and a 60 day estimation period, the researchers used the Standardized Excess Return approach which corrected for most of the challenges associated with intercompany aggregation of stocks. Using the Single Index and Risk Adjusted Returns Model the study found out that earnings announcement had no effect on stock price and as such that the Ghana Stock Exchange is not efficient in the semi strong form.