Using monthly and multi-day return windows, research shows that credit rating downgrades often reveal new information and lead to significant stock price reactions but that upgrades do not. Using intraday data, we revisit these findings and extend them by examining the possibility of informed trading ahead of the announcement of credit rating changes. Credit rating agencies delay public announcements of rating changes to provide issuers with time to review and respond to rating reports, which opens the door for informed trading in advance of credit rating changes. Using data on rating changes from S&P, Moody’s, and Fitch, we find a more modest price reaction to rating downgrades than documented elsewhere and show that stock prices respond to changes in long-term issuer ratings but not to changes in ratings of a single instrument or a subset of instruments. Most interestingly, we find that prices start moving before a downgrade announcement, controlling for other news and investor anticipation. These pre-announcement movements are concentrated among observations where credit analysts are motivated to disclose private information to advance their careers. The beneficiaries of these disclosures appear to be institutional investors.

研究表明，使用月度和多日收益率窗口，信用评级的下降通常会揭示新的信息，并导致重大的股价反应，但评级不会上升。利用日内数据，我们重新审视了这些发现，并通过在信用评级变更宣布之前检查知情交易的可能性来扩展这些发现。信用评级机构延迟了评级更改的公开公告，以使发行人有时间查看和响应评级报告，从而为信用评级更改之前的知情交易打开了大门。使用标准普尔，穆迪和惠誉的评级变化数据，我们发现对降级的价格反应比在其他地方记录的要温和得多，并且表明股票价格对长期发行人评级的变化做出了反应，但对单个工具或一部分工具的评级变化没有做出反应。最有趣的是，我们发现在降级公告发布之前价格开始上涨，从而控制了其他新闻和投资者的预期。这些公告前的动作集中在观察中，在这些观察中，信用分析师被激励披露私人信息以促进其职业发展。这些披露的受益人似乎是机构投资者。这些公告前的动作集中在观察中，在这些观察中，信用分析师被激励披露私人信息以促进其职业发展。这些披露的受益人似乎是机构投资者。这些公告前的动作集中在观察中，在这些观察中，信用分析师被激励披露私人信息以促进其职业发展。这些披露的受益人似乎是机构投资者。