The effects of credit rating announcements on bond liquidity: an event study

DOI10.1007/978-3-319-50234-2_1MaRDI QIDQ4609741zbMATH OpenOpenAlexFDO

Authors Pilar Abad, A. Díaz, Ana Escribano, M. Dolores Robles

Publication date 26 March 2018

Published in Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-50234-2_1

zbMATH Keywords

liquidity shocksbond liquidity

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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Cites work

• Handbook of parametric and nonparametric statistical procedures

Cited in

(4)

• Sovereign credit ratings, market volatility, and financial gains
• The impact of a rating agency's private information and disclosed causes of rating downgrades on insurer stock returns
• Market accessibility, bond ETFs, and liquidity
• Credit ratings and liquidity crises

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