Social and Behavioral Sciences Commons^™

Information Value Of Credit Ratings In Asia Ex-Japan Markets, Chen Zhou

Dissertations and Theses Collection (Open Access)

This study investigates the information value of credit ratings by exploring the relationship between ratings and security price. Unlike previous studies, we concentrate on the major markets ex-Japan in Asia. We begin with an investigation of rating reclassification as well as credit watch placement events by three leading international rating agencies. We show that markets with differing level of sophistication behave differently. Specifically, South Korea and Hong Kong are found to respond in a similar manner. Indonesia shows possible ign of information leakage. In the cases of Malaysia and Thailand, significant and positive equity price responses exist for upgrades, suggesting …