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Do Credit Rating Announcements Convey Valuable Information? Evidence from a Developing Country Perspective

T. K. E. M. Prabodini & D. B. P. H. Dissabandara

International Journal of Accounting and Business Finance2025https://doi.org/10.4038/ijabf.v11i2.185article
ABDC C
Weight
0.50

What the paper says

This study delves into the critical role of information in capital markets, examining stock market response to credit rating announcements, with a focus on downgrades and affirmations. Using the Event Study Method (ESM), the analysis compares market responses across two distinct periods: pre and during the COVID-19 pandemic. The results indicate a negative market response to credit rating downgrades, which convey adverse credit signals, with the response being more pronounced during COVID-19 period, while no noticeable reaction to affirmations in either period. These results support the theory of loss aversion, indicating that investors respond more strongly to negative information because of potential losses, particularly under heightened uncertainty. Overall, the study demonstrates the informational relevance of credit rating downgrades in emerging markets and emphasizes the need for market participants to remain vigilant during periods of economic disruption such as the COVID-19 pandemic.

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https://doi.org/https://doi.org/10.4038/ijabf.v11i2.185

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@article{t.2025,
  title        = {{Do Credit Rating Announcements Convey Valuable Information? Evidence from a Developing Country Perspective}},
  author       = {T. K. E. M. Prabodini & D. B. P. H. Dissabandara},
  journal      = {International Journal of Accounting and Business Finance},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.4038/ijabf.v11i2.185},
}

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Do Credit Rating Announcements Convey Valuable Information? Evidence from a Developing Country Perspective

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.