This paper analyzes the response of stock and credit default swap (CDS) markets to rating
announcements made by the three major rating agencies during the period 2000–2002 …

This paper examines the effect of sovereign credit rating change announcements on the
CDS spreads of the event countries, and their spillover effects on other emerging …

We show that the abnormal returns on high default risk stocks documented by Vassalou and
**ng (2004) are driven by short-term return reversals rather than systematic default risk …

We use a variety of organization-level datasets to examine the effectiveness and efficiency
of the nations for the coronavirus epidemic. COVID-19 subsidies appear to have saved a …

This paper analyses the ability of credit default swap (CDS) spreads, bond spreads and
stock prices to anticipate the decisions of the main rating agencies, regarding the largest …

This study examines the impact of S&P rating events on the credit default swap (CDS)
spread of firms and the spillover effect on competitors for the period 2004–2011. We find that …

Option pricing theory provides a robust and theoretically sound framework for the
measurement of credit risk. Assuming perfect market conditions, information relevant to the …

This paper investigates whether the price response to credit rating agency (CRA)
announcements on sovereign bonds has diminished since the Global Financial Crisis …

This study analyzes the effect of credit rating announcements on stock returns in the
Brazilian market during 1997-2011. We conducted an event study using a sample of 242 …

This paper investigates the price response to credit rating agency (CRA) announcements on
sovereign bonds. We characterize credit rating events controlling announcements for the …