The adverse effects of systematic leakage ahead of official sovereign debt rating announcements

• 成果类型: Article
• 署名作者: Michaelides, Alexander; Milidonis, Andreas; Nishiotis, George P.; Papakyriakou, Panayiotis
• 署名单位: Imperial College London; University of Cyprus; Centre for Economic Policy Research - UK; Nanyang Technological University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.12.005
• 发表日期: 2015
• 页码: 526-547
• 关键词: Sovereign ratings; event studies; institutional quality; Information leakage; TRMI

摘要

Rating agencies consult with local government officials several days prior to official announcements of sovereign debt rating changes, making information leakage likely. Using cross-country data from 1988 to 2012, we find evidence of information leakage. In particular, we find statistically and economically significant negative daily abnormal stock index returns prior to downgrade announcements. These effects are more pronounced in countries with lower institutional quality, and they persist during times with no downgrade rumors and no concurrent bad news in general. A mild post-announcement reversal consistent with overreaction to pre-event downgrade rumors highlights the adverse effects of such leakage and, thus, should be a policy concern for capital market regulators. (C) 2015 Published by Elsevier B.V.