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Влияние изменений кредитных рейтингов на динамику цен акций
Credit ratings represent an assessment of the totality of borrowers' risks, and due to the very method of compilation, they contain a large amount of information about companies which is taken into account by market participants. The impact of news release about a change in a company's credit rating on the dynamics of its stock prices can be analyzed using the event study methodology. The results of the calculations confirm the statistical significance of a short-term positive market reaction in the case of credit ratings upgrades and a negative one in the case of downgrades. However, there are differences in the direction and duration of the market reaction to changes in credit ratings and depending on the brand of the credit rating agency itself. At the same time, the effect of publicly available news about changes in credit ratings forecasts is statistically insignificant.