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Sovereign Credit Rating effects on equity markets: Applied on US Data
Halmstad University, School of Social and Health Sciences (HOS).
Halmstad University, School of Social and Health Sciences (HOS).
2012 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper is a study on how U.S stock market reacts on sovereign credit rating announcements, and if there is a significant difference between low or high debt firms. We have used an event study based on historical stock prices from 30 companies, 15 with high debt and 15 with low debt. All companies are taken from the S&P`s 500 index which we also use as a market index. We use a regression model with 10 % significance level to see if there is a significant impact on high debt firms. Our result shows that the market will be affected by the downgrade. We also conclude that there was a significant negative impact on the high debt firms.

Place, publisher, year, edition, pages
Keyword [en]
Sovereign credit rating, event studies, cumulative abnormal return, abnormal return, regression model, High debt versus low debt. U.S stock market
National Category
URN: urn:nbn:se:hh:diva-18959OAI: diva2:537327
Subject / course
Social and Behavioural Science, Law
Available from: 2012-06-26 Created: 2012-06-26 Last updated: 2012-06-26Bibliographically approved

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