An lnvestigation of the short-run and long-run stock...

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Artículos Artículos An lnvestigation of the short-run and long-run stock returns surrounding insurer rating changes - Chen, Leon

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Título: An lnvestigation of the short-run and long-run stock returns surrounding insurer rating changes / Leon Chen, Jennifer J. Gaver, Steven W. Pottier

Autor: Chen, Leon Icono con lupa

Notas: Sumario: We find that stock returns move in the direction of insurer rating changes in the 12-month period prior to the announcement. There is an additional stock price response following the announcement of a downgrade, but no response to upgrade announcements. The reaction to a downgrade is more pronounced when it involves a smaller insurer, when it spans multiple levels, or when it is a threshold downgrade. Returns are significantly more negative during the 12 months leading up to a downgrade announcement during the financial crisis (2008 and 2009) compared to other sample years

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