The impact of credit rating announcements on corporate CDS markets: Are intra-industry effects observable?

摘要

This study examines the impact of S&P rating events on the credit default swap (CDS) spread of firms and the spillover effect on competitors for the period 2004-2011. We find that both credit downgrades and upgrades have an impact on the CDS spread of event and non-event firms on the event date. Downgrades are more anticipated than upgrades. Overall, the market reaction differs in extent and significance across industries and has been more pronounced since the beginning of the 2007 financial crisis.