Credit rating updates as a source of new information in the Scandinavian stock market
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- Master of Science 
This thesis investigates the Scandinavian stock market’s response to all credit rating updates on unsecured debt in listed firms given by Standard & Poor’s and Moody’s during the period 2000 to 2010. We use an event study methodology1 in order to reveal any relationship between a credit rating update and stock prices in terms of abnormal returns. We find significant abnormal stock returns surrounding negative rating updates, Downgrades and negative Credit Watches. Conversely, we find virtually no significant effects surrounding positive rating updates. These findings are consistent with earlier research in other regions. By defining narrow hypotheses we also find differences in announcement effect dependent on observable contrasting attributes. Finally we conclude that the credit rating agencies do provide the Scandinavian market with new information.
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2013