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標題: The Impact of Credit Rating Change Announcement on Stock Markets and Stock Recommendation
作者: 陳佳慧
Chen, Chia-Hui
關鍵字: Rating Change;評等改變;Abnormal Returns;Event Study;Stock Investment Recommendation;異常報酬;事件研究法;券商投資建議報告
出版社: 財務金融系所
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The object of this study is to examine the impact of credit rating change on stock
abnormal returns by using event study methods. Then, I use cross-sectional regression to explore which factors can affect cumulative average abnormal returns. The factors are associated with finance, corporate governance and the recommendations of analysts. Moreover, I examine the factors which affect the forecast accuracy of the recommendations of analysts. We find a significant negative stock response to downgrades and very little evidence of a significant effect of an upgrade. The finding is consistent with US evidence. The results in regression show that the dimensions of finance and corporate governance can affect cumulative average abnormal returns. Last, as credit rating change is downgrades, the forecast accuracy would be lower. The bank and local analysts tend to have a negative impact on the forecast accuracy.
其他識別: U0005-2706201212342700
Appears in Collections:財務金融學系所

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