Information effect of credit rating announcements in transition economies

Zvika Afik; Yuriy Zabolotnyuk

doi:10.1016/j.intfin.2023.101878

Information effect of credit rating announcements in transition economies

Zvika Afik, Yuriy Zabolotnyuk

Research output: Contribution to journal › Article › peer-review

2 Scopus citations

Abstract

This paper analyzes the credit rating markets in transition economies of Central and Eastern Europe and the former USSR, an important economic area and countries that are quickly developing into significant economic players. Using a sample of 969 credit rating announcements from 1998 to 2021, we examine the wealth effects of the credit rating announcements and compare the findings to the existing international evidence. We find that informativeness of rating announcements in transition economies decreases after the first enforcement of insider trading laws. We also find different market reaction to rating announcements in EU and non-EU countries. Our findings suggest that this region is still evolving and part of it still has characteristics of other emerging markets.

Original language	English
Article number	101878
Journal	Journal of International Financial Markets, Institutions and Money
Volume	89
DOIs	https://doi.org/10.1016/j.intfin.2023.101878
State	Published - Dec 2023
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2023 Elsevier B.V.

Keywords

Bond rating announcements
Information content
Market efficiency
Transition economies

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10.1016/j.intfin.2023.101878

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title = "Information effect of credit rating announcements in transition economies",

abstract = "This paper analyzes the credit rating markets in transition economies of Central and Eastern Europe and the former USSR, an important economic area and countries that are quickly developing into significant economic players. Using a sample of 969 credit rating announcements from 1998 to 2021, we examine the wealth effects of the credit rating announcements and compare the findings to the existing international evidence. We find that informativeness of rating announcements in transition economies decreases after the first enforcement of insider trading laws. We also find different market reaction to rating announcements in EU and non-EU countries. Our findings suggest that this region is still evolving and part of it still has characteristics of other emerging markets.",

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year = "2023",

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AB - This paper analyzes the credit rating markets in transition economies of Central and Eastern Europe and the former USSR, an important economic area and countries that are quickly developing into significant economic players. Using a sample of 969 credit rating announcements from 1998 to 2021, we examine the wealth effects of the credit rating announcements and compare the findings to the existing international evidence. We find that informativeness of rating announcements in transition economies decreases after the first enforcement of insider trading laws. We also find different market reaction to rating announcements in EU and non-EU countries. Our findings suggest that this region is still evolving and part of it still has characteristics of other emerging markets.

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KW - Information content

KW - Market efficiency

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Information effect of credit rating announcements in transition economies

Abstract

Bibliographical note

Keywords

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