TY - JOUR

T1 - Market impact under a new regulatory regime

T2 - Credit rating agencies in Europe

AU - Alsakka, Rasha

AU - ap Gwilym, Owain

AU - Klusak, Patrycja

AU - Tran, Vu

PY - 2015/6/28

Y1 - 2015/6/28

N2 - We investigate whether there are any identifiable differences in market perceptions of rating news released by Moody's, S&P and Fitch following the establishment of a new regulatory regime in July 2011, when the European Securities and Markets Authority assumed responsibility for rating agencies' regulation in Europe. We focus the analysis on the impact of bank rating actions on stock returns and volatility during 2008–2013. Among the intended effects of the new regulatory regime are higher rating quality and enhanced market stability, yet we find very mixed evidence. Many differentials in market responses across CRAs are identified, which mean that a consistent effect of the new regulatory regime is not discernible.

AB - We investigate whether there are any identifiable differences in market perceptions of rating news released by Moody's, S&P and Fitch following the establishment of a new regulatory regime in July 2011, when the European Securities and Markets Authority assumed responsibility for rating agencies' regulation in Europe. We focus the analysis on the impact of bank rating actions on stock returns and volatility during 2008–2013. Among the intended effects of the new regulatory regime are higher rating quality and enhanced market stability, yet we find very mixed evidence. Many differentials in market responses across CRAs are identified, which mean that a consistent effect of the new regulatory regime is not discernible.

U2 - 10.1111/ecno.12039

DO - 10.1111/ecno.12039

M3 - Article

VL - 44

SP - 275

EP - 308

JO - Economic Notes

JF - Economic Notes

SN - 0391-5026

IS - 2

ER -