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

DOI10.1007/978-3-319-50234-2_1zbMATH Open1383.62230OpenAlexW2780692164MaRDI QIDQ4609741FDOQ4609741

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

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zbMATH Keywords

liquidity shocksbond liquidity

Mathematics Subject Classification ID

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

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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