Impacts of credit rating changes on stock returns

Authors

  • Pham Quynh Chau
    Ho Chi Minh City Open University, VN
  • Nguyen Thu Hien
    Ho Chi Minh City Open University, VN

DOI:

10.46223/HCMCOUJS.econ.en.2.1.67.2012

Keywords:

Credit rating changes; abnormal stock returns

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.

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References

Andayani, W., Pusposari, D., &Sukoharsono, E. G. (2010). Earnings quality and bond rating: Empirical evidence in Indonesia. Journal of International Finance and Economics.10(4).

Barron, M.J., Clare, A.D., & Thomas, S.H. (1997). The effect of bond rating changes and new ratings on UK stock returns. Journal of Business Finance and Accounting, 24(3): 497-509.

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Bodie, Z., Kane, A., & Marcus, A, J. (2009).Investment, 8th edition. New York, NY: McGraw –Hill International Edition.

Chan, K.C., & Poor, W.P.H. (2008). An empirical examination of the informational content of credit ratings in China. Journal, 61(7):790-797. doi:10.1016/j.jbusres.2007.08.001.

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Received: 01-03-2020
Accepted: 01-03-2020
Published: 31-08-2012

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How to Cite

Chau, P. Q., & Hien, N. T. (2012). Impacts of credit rating changes on stock returns. HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ECONOMICS AND BUSINESS ADMINISTRATION, 2(1), 40–51. https://doi.org/10.46223/HCMCOUJS.econ.en.2.1.67.2012

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Copyright (c) 2012 Pham Quynh Chau; Nguyen Thu Hien

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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.