Main Article Content
The paper examines the impact of the countries’ credit ratings
changes on the cost of credit defaults swaps premium. It is assumed statistical
significance abnormal returns due to changes in credit ratings assigned
by the agencies. It is has been put the hipothesis that ratings events convey new
information and lead to significant abnormal reactions. The study used
the ratings assigned by Standard & Poor's and Moody's for the period from
January 2005 to November 2015 and spreads for five-year senior unsecured
CDS. To verify the hypothesis the event study method (by daily data) is
applied.
Article Details
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