Rating changes and the impact on stock prices
PDF (Português (Brasil))


Credit ratings
Stock market
Event study
Market efficiency

How to Cite

Baraccat, B. B., Bortoluzzo, A. B., & Gonçalves, A. B. (2020). Rating changes and the impact on stock prices. Review of Business Management, 22, 539–557. https://doi.org/10.7819/rbgn.v22i0.4064


Purpose – The objective of this study is to analyze the impact of changes in credit ratings on the long-term return of Brazilian firms.


Design/methodology/approach – We conducted an event study to measure how stock prices in the Brazilian stock exchange (B3) react to rating upgrades and downgrades by Moody's and S&P.


Findings – Our sample presents positive and significant returns measured by the BHAR for ratings downgrades and non-significant ones for upgrades. Our data also show the important role of the previous rating in explaining these results in a non-linear fashion.


Originality/value – Our research makes an important contribution to the theory of market efficiency, analyzing the degree of information present in the announcements of credit ratings changes. We also present results for Brazilian companies, correcting gaps pointed out in previous methodologies.

PDF (Português (Brasil))

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