How do Rating Agencies’ Decisions impact Stock Markets ? A Meta-Analysis
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The purpose of this study is to examine how credit rating agencies’ decisions impact the stock market using a systematic and quantitative review of existing empirical studies. Specifically, we employ a meta‐regression analysis (MRA) to investigate the extent and nature of the effect of rating agencies’ decisions on the stock market. We survey 62 studies published between 1978 and 2015. Our first finding is that the cumulative average abnormal returns calculated from this empirical literature are affected by publication bias. After controlling for publication bias, the main findings of our meta‐analysis indicate that negative rating decisions cause statistically significant negative abnormal returns. This evidence suggests an informational effect. Our results also indicate that positive rating decisions do not have a significant effect. Finally, the MRA results reveal the importance of several factors related to primary study design, as well as to the nature of the data.
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Other versions of this item:
- Jérôme Hubler & Christine Louargant & Patrice Laroche & Jean‐Noёl Ory, 2019. "How Do Rating Agencies’ Decisions Impact Stock Markets? A Meta‐Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 33(4), pages 1173-1198, September.
- Jerome Hubler & Patrice Laroche & Christine Louargant & Jean-Noël Ory, 2017. "How rating agencies’decisions impact stock markets? A meta analysis," Post-Print hal-02512757, HAL.
- Jérôme Hubler & Christine Louargant & Patrice Laroche & Jean‐noёl Ory, 2019. "How do rating agencies' decisions impact stock markets? A meta-analysis," Post-Print hal-02137669, HAL.
- Jerome Hubler & Patrice Laroche & Christine Louargant & Jean-Noël Ory, 2017. "How rating agencies’ decisions impact stock markets? A meta analysis," Post-Print hal-02512763, HAL.
- Jerome Hubler & Patrice Laroche & Christine Louargant & Jean-Noël Ory, 2017. "How rating agencies’decisions impact stock markets? A meta analysis," Post-Print hal-02512759, HAL.
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Cited by:
- Turki Rashed Alshammari & Jean-Noël Ory, 2023. "The Impact of Religious Announcements on Stock Prices and Investment Decisions on the Saudi Stock Exchange," Post-Print hal-04105704, HAL.
- Jerch, Rhiannon & Kahn, Matthew E. & Lin, Gary C., 2023.
"Local public finance dynamics and hurricane shocks,"
Journal of Urban Economics, Elsevier, vol. 134(C).
- Rhiannon Jerch & Matthew E. Kahn & Gary C. Lin, 2020. "Local Public Finance Dynamics and Hurricane Shocks," NBER Working Papers 28050, National Bureau of Economic Research, Inc.
- Geyer-Klingeberg, Jerome & Hang, Markus & Rathgeber, Andreas, 2020. "Meta-analysis in finance research: Opportunities, challenges, and contemporary applications," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Abad, Pilar & Robles, M.-Dolores & Alonso Orts, Carlos, 2023. "Stress testing programs and credit risk opacity of banks: USA vs Europe," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
- Samangi Bandaranayake & Kuntal K. Das & Robert W. Reed, 2020.
"Another Look At ‘Bank Competition And Financial Stability: Much Ado About Nothing’?,"
Journal of Economic Surveys, Wiley Blackwell, vol. 34(2), pages 344-371, April.
- Samangi Bandaranayake & Kuntal K. Das & W. Robert Reed, 2019. "Another Look at “Bank Competition and Financial Stability: Much Ado about Nothing?”," Working Papers in Economics 19/08, University of Canterbury, Department of Economics and Finance.
- Jaspreet Kaur & Madhu Vij & Ajay Kumar Chauhan, 2023. "Signals influencing corporate credit ratings—a systematic literature review," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 50(1), pages 91-114, March.
- Koppenberg, Maximilian & Hirsch, Stefan & Finger, Robert, 2023. "Effects of the debate on glyphosate's carcinogenic risk on pesticide producers' share prices," Ecological Economics, Elsevier, vol. 212(C).
- Laure de Batz & Evžen Kočenda, 2024.
"Financial crime and punishment: A meta‐analysis,"
Journal of Economic Surveys, Wiley Blackwell, vol. 38(4), pages 1338-1398, September.
- Laure de Batz & Evžen Kočenda & Evžen Kocenda, 2023. "Financial Crime and Punishment: A Meta-Analysis," CESifo Working Paper Series 10528, CESifo.
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