Please use this identifier to cite or link to this item: http://repository.kln.ac.lk/handle/123456789/12157
Title: The Impact of Credit Rating Announcements on Share Price in Colombo Stock Exchange
Authors: Chathurangi, T.R.
Keywords: Credit Rating
Abnormal Return
Event Study
Cumulative Abnormal Return
Issue Date: 2015
Publisher: Department of Finance, Faculty of Commerce and Management Studies, University of Kelaniya
Citation: Chathurangi, T.R. 2015. The Impact of Credit Rating Announcements on Share Price in Colombo Stock Exchange. In Proceedings of the 4th Students’ Research Symposium, Department of Finance, Faculty of Commerce and Management Studies, University of Kelaniya, Sri Lanka. p 37.
Abstract: This study examines the impact of Credit Rating Announcements on Share Prices in Colombo stock Exchange. This study uses the event study methodology to determine the stock market reactions to credit rating announcements. The three windows as pre-announcement window (-15,-1), announcement window (0, +1) and postannouncement window (+2, +15) to determine how much contribute to CAAR value from each window. Selected sample comprise with 20 companies representing bank sector, leasing and finance sector, corporate sector and insurance sector. The data are collected during the study period of April 2012 to June 2015 which is related to the credit rating announcement of Fitch Ratings Lanka Ltd, ASPI and the daily prices. The empirical results for rating changes show a negative CAAR for the preannouncement window and post-announcement window and a positive CAAR for the Announcement window. Almost all CAAR in the event windows are statistically significant but market reaction of announcement window is higher compared to other windows because of the CAAR recorded positive value. Empirical result related to ASPI, can be identified, ASPI has a growth after the rating announcement. For downgrades the empirical results show a negative CAR for the pre-announcement window (-15, -1) and a positive CAR for the announcement window (0, +1) and postannouncement window (+2, +15). For upgrades the CAR for positive for the preannouncement window, they become negative for the announcement window and shows negative reaction to the announcement.
URI: http://repository.kln.ac.lk/handle/123456789/12157
Appears in Collections:4th SRS - DFIN 2015

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