The credit rating puzzle : a study on the relationship between equity returns and corporate credit ratings in the US stock market

The remaining columns report the coefficients from bivariate return predictive regressions of log of cumulative excess value-weighted returns on the S&P 500 Index

Similar to the research by Li, Wang, Yu (2017) and the research we intend to do, Lamont (2000) uses leading macroeconomic indicators, such as investment plans to predict

The results suggest that macroeconomic variables do affect stock market returns in the given region, but that the relationship between the two is not necessarily what

The relationship between economic indicators and stock market returns has been researched and findings suggest that they are significant to market performance,

We find evidence of significantly lower institutional ownership in low-rated industries, and find that a value-weighted zero investment portfolio long these industries

Hypothesis 1: There exists a positive relationship between SVI (ASVI) and stock returns (abnormal returns). First of all, we want to establish a relationship between SVI

Table 6 presents the average abnormal returns obtained through the Event-Study analysis of downgraded countries for both market indexes and the several

demonstrate that the apparently abnormal returns after events such as credit rating and analyst recommendation downgrades, are reduced or even eliminated and to conclude