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題名 信用評等調整宣告對市場報酬及交易量之影響
The Market Return and Trading Volume Reactions to Credit Rating Change Announcements作者 龔慧慈 貢獻者 周冠男
龔慧慈關鍵詞 credit rating
market returns
stock trading volume
order imbalance日期 2013 上傳時間 6-八月-2014 11:40:44 (UTC+8) 摘要 Credit ratings are one of the important implications that affect the investors’ behavior in stock markets. We explore the stock reactions to the announcements of credit rating changes from the aspect of returns and trading volume. According to our empirical studies, we find that as S&P announced credit rating upgrading, significant positive cumulative abnormal returns exist in event period, and downgrading with significant negative cumulative abnormal returns. In the trading volume dimension, cumulative abnormal trading volume is statistically significant to both credit rating upgrading and downgrading stocks. Further, we examine the direction of the trading on the day of the credit rating change announcements. The results indicate that the order imbalance is positive significant to upgrading stocks and negative significant to downgrading stocks. We infer that investors are confident of credit rating upgrading stocks and willing to buy more shares that bring about positive abnormal returns; on the other hand, they inclined to sell more shares of credit rating downgrading stocks that cause negative abnormal returns. 參考文獻 Ahmed, Anwer S., and Richard A. Schneible, 2007, The impact of regulation fair disclosure on investors` prior information quality — evidence from an analysis of changes in trading volume and stock price reactions to earnings announcements, Journal of corporate finance 13, 282-299. Best, Ronald W., 1997, The role of default risk in determining the market reaction to debt announcements, The Financial review 32, 87-105. Blume, Marshall E., A. Craig Mackinlay, and Bruce Terker, 1989, Order imbalances and stock price movements on october 19 and 20, 1987, The journal of finance 44, 827-848. Brooks, Robert, Robert W. Faff, David Hillier, and Joseph Hillier, 2004, The national market impact of sovereign rating changes, Journal of banking & finance 28, 233-250. Chan, Kalok, Y. Peter Chung, and Wai-Ming Fong, 2002, The informational role of stock and option volume, The Reviw of Financial Studies 15, 1049-1075. Chordia, Tarun, Richard Chordia, Avanidhar Roll, and Subrahmanyam, 2002, Order imbalance, liquidity, and market returns, Journal of financial economics 65, 111-130. Dichev, Ilia D., and Joseph D. Piotroski, 2001, The long-run stock returns following bond ratings changes, The journal of finance 56, 173-203. Goh, Jeremy C., and Louis H. Ederington, 1999, Cross-sectional variation in the stock market reaction to bond rating changes, The Quarterly review of economics and finance 39, 101-112. Gropp, Reint, and Anthony Richards, 2001, Rating agency actions and the pricing of debt and equity of european banks: What can we infer about private sector monitoring of bank soundness?, Economic notes 30, 373-398. Hand, John R. M., Robert W. Holthausen, and Richard W. Leftwich, 1992, The effect of bond rating agency announcements on bond and stock prices, The journal of finance 47, 733-752. Hasbrouck, Joel, 1988, Trades, quotes, inventories, and information, Journal of Financial Economics 22, 229-252. Holthausen, Robert W., and Richard W. Leftwich, 1987, The effect of large block transactions on security prices: A cross-sectional analysis, Journal of Financial Economics 19, 237-267. Hsueh, L.Paul, and Y.Angela Liu, 1992, Market anticipation and the effect of bond rating changes on common stock prices, Journal of Business Research 24, 225-239. Katz, Steven, 1974, The price adjustment process of bonds to rating reclassifications: A test of bond market efficiency, The journal of finance 29, 551-559. Lee, Charles M. C., and Balkrishna Radhakrishna, 2000, Inferring investor behavior: Evidence from torq data, Journal of financial markets 3, 83-111. Lee, Charles M. C., and Mark J. Ready, 1991, Inferring trade direction from intraday data, The journal of finance 46, 733-746. Li, Joanne, Yoon S. Shin, and William T. Moore, 2006, Reactions of japanese markets to changes in credit ratings by global and local agencies, Journal of banking & finance 30, 1007-1021. Odders-White, Elizabeth R., 2000, On the occurrence and consequences of inaccurate trade classification, Journal of financial markets 3, 259-286. Pinches, George E., and J. Clay Singleton, 1978, The adjustment of stock prices to bond rating changes, The journal of finance 33, 29-44. Steiner, Manfred, and Volker G. Heinke, 2001, Event study concerning international bond price effects of credit rating actions, International Journal of Finance & Economics 6, 139-157. Wakeman, Mcdonald, 1978, Bond rating agencied and the capital markets, Working papaer, University of Rochester, Rochester NY. Weinstein, Mark, 1977, The effect of a rating change announcement on bond price, Journal of Financial Economics 5, 329-350. 描述 碩士
國立政治大學
財務管理研究所
101357016
102資料來源 http://thesis.lib.nccu.edu.tw/record/#G0101357016 資料類型 thesis dc.contributor.advisor 周冠男 zh_TW dc.contributor.author (作者) 龔慧慈 zh_TW dc.creator (作者) 龔慧慈 zh_TW dc.date (日期) 2013 en_US dc.date.accessioned 6-八月-2014 11:40:44 (UTC+8) - dc.date.available 6-八月-2014 11:40:44 (UTC+8) - dc.date.issued (上傳時間) 6-八月-2014 11:40:44 (UTC+8) - dc.identifier (其他 識別碼) G0101357016 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/68232 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 101357016 zh_TW dc.description (描述) 102 zh_TW dc.description.abstract (摘要) Credit ratings are one of the important implications that affect the investors’ behavior in stock markets. We explore the stock reactions to the announcements of credit rating changes from the aspect of returns and trading volume. According to our empirical studies, we find that as S&P announced credit rating upgrading, significant positive cumulative abnormal returns exist in event period, and downgrading with significant negative cumulative abnormal returns. In the trading volume dimension, cumulative abnormal trading volume is statistically significant to both credit rating upgrading and downgrading stocks. Further, we examine the direction of the trading on the day of the credit rating change announcements. The results indicate that the order imbalance is positive significant to upgrading stocks and negative significant to downgrading stocks. We infer that investors are confident of credit rating upgrading stocks and willing to buy more shares that bring about positive abnormal returns; on the other hand, they inclined to sell more shares of credit rating downgrading stocks that cause negative abnormal returns. zh_TW dc.description.tableofcontents Abstract I List of Tables III 1. Introduction 1 1.1. Motivation of the study 1 1.2. Objective of the study 2 1.3. Chapter outlines 2 2. Literature Review 3 2.1. Credit Ratings 3 2.1.1. No significant reactions to credit rating change announcements 3 2.1.2. Significant reactions only to credit rating downgrades 4 2.1.3. Significant reactions to credit rating upgrades and downgrades 6 2.2. Order Imbalance 7 2.3. Hypothesis 8 3. Data Description and Research Methodology 9 3.1. Data 9 3.2. Methodology and Variable Description 10 3.2.1. Stock return reactions to credit rating change announcements 10 3.2.2. Trading volume reactions to credit rating changes 12 3.2.3. Order imbalance to credit rating change announcements 13 4. Empirical Results and Analyses 15 4.1. Summary statistics 15 4.2. Empirical result for cumulative abnormal returns 16 4.3. Empirical result for trading volume 21 4.4. Empirical result for order imbalance 25 5. Conclusion 30 6. Suggestion for future research 31 References 32 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0101357016 en_US dc.subject (關鍵詞) credit rating zh_TW dc.subject (關鍵詞) market returns zh_TW dc.subject (關鍵詞) stock trading volume zh_TW dc.subject (關鍵詞) order imbalance zh_TW dc.title (題名) 信用評等調整宣告對市場報酬及交易量之影響 zh_TW dc.title (題名) The Market Return and Trading Volume Reactions to Credit Rating Change Announcements en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Ahmed, Anwer S., and Richard A. Schneible, 2007, The impact of regulation fair disclosure on investors` prior information quality — evidence from an analysis of changes in trading volume and stock price reactions to earnings announcements, Journal of corporate finance 13, 282-299. Best, Ronald W., 1997, The role of default risk in determining the market reaction to debt announcements, The Financial review 32, 87-105. Blume, Marshall E., A. Craig Mackinlay, and Bruce Terker, 1989, Order imbalances and stock price movements on october 19 and 20, 1987, The journal of finance 44, 827-848. Brooks, Robert, Robert W. Faff, David Hillier, and Joseph Hillier, 2004, The national market impact of sovereign rating changes, Journal of banking & finance 28, 233-250. Chan, Kalok, Y. Peter Chung, and Wai-Ming Fong, 2002, The informational role of stock and option volume, The Reviw of Financial Studies 15, 1049-1075. Chordia, Tarun, Richard Chordia, Avanidhar Roll, and Subrahmanyam, 2002, Order imbalance, liquidity, and market returns, Journal of financial economics 65, 111-130. Dichev, Ilia D., and Joseph D. Piotroski, 2001, The long-run stock returns following bond ratings changes, The journal of finance 56, 173-203. Goh, Jeremy C., and Louis H. Ederington, 1999, Cross-sectional variation in the stock market reaction to bond rating changes, The Quarterly review of economics and finance 39, 101-112. Gropp, Reint, and Anthony Richards, 2001, Rating agency actions and the pricing of debt and equity of european banks: What can we infer about private sector monitoring of bank soundness?, Economic notes 30, 373-398. Hand, John R. M., Robert W. Holthausen, and Richard W. Leftwich, 1992, The effect of bond rating agency announcements on bond and stock prices, The journal of finance 47, 733-752. Hasbrouck, Joel, 1988, Trades, quotes, inventories, and information, Journal of Financial Economics 22, 229-252. Holthausen, Robert W., and Richard W. Leftwich, 1987, The effect of large block transactions on security prices: A cross-sectional analysis, Journal of Financial Economics 19, 237-267. Hsueh, L.Paul, and Y.Angela Liu, 1992, Market anticipation and the effect of bond rating changes on common stock prices, Journal of Business Research 24, 225-239. Katz, Steven, 1974, The price adjustment process of bonds to rating reclassifications: A test of bond market efficiency, The journal of finance 29, 551-559. Lee, Charles M. C., and Balkrishna Radhakrishna, 2000, Inferring investor behavior: Evidence from torq data, Journal of financial markets 3, 83-111. Lee, Charles M. C., and Mark J. Ready, 1991, Inferring trade direction from intraday data, The journal of finance 46, 733-746. Li, Joanne, Yoon S. Shin, and William T. Moore, 2006, Reactions of japanese markets to changes in credit ratings by global and local agencies, Journal of banking & finance 30, 1007-1021. Odders-White, Elizabeth R., 2000, On the occurrence and consequences of inaccurate trade classification, Journal of financial markets 3, 259-286. Pinches, George E., and J. Clay Singleton, 1978, The adjustment of stock prices to bond rating changes, The journal of finance 33, 29-44. Steiner, Manfred, and Volker G. Heinke, 2001, Event study concerning international bond price effects of credit rating actions, International Journal of Finance & Economics 6, 139-157. Wakeman, Mcdonald, 1978, Bond rating agencied and the capital markets, Working papaer, University of Rochester, Rochester NY. Weinstein, Mark, 1977, The effect of a rating change announcement on bond price, Journal of Financial Economics 5, 329-350. zh_TW
