The impact of credit rating announcements on corporate CDS markets — Are intra-industry effects observable ?

  • Andreas Wengnera, Hans-Peter Burghofa, Johannes Schneiderb
  • Published 2015

Abstract

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 both credit downgrades and upgrades have an impact on the CDS spread of event and non-event firms on the event date. Downgrades are more anticipated than upgrades. Overall, the… (More)

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