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2 (1) 2012

Impacts of credit rating changes on stock returns


Author - Affiliation:
Pham Quynh Chau - Ho Chi Minh City Open University , Vietnam
Nguyen Thu Hien - Ho Chi Minh City Open University , Vietnam
Corresponding author: Nguyen Thu Hien - kim.npt@ou.edu.vn

Abstract
This paper studies the impact of credit ratings issued by CIC, a Vietnamese local rating agency, on stock returns of listed companies on the Vietnamese stock exchanges in the period of 2007-2010. The findings of the study confirm the assertions of the previous researches by Holthausen and Leftwich (1986), Hand, Holthausen and Leftwich (1992), Chan and Poor (2008). Specifically, CIC’s credit ratings slightly affect the stock prices of the listed firms, an evidence supporting CIC’s role and its rating quality to a certain extent. This paper also confirms semi-strong form of the Vietnamese stock market efficiency.


Keywords
Credit rating changes; abnormal stock returns

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DOI: https://doi.org/10.46223/HCMCOUJS.econ.en.2.1.67.2012
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