The effect of credit rating agency announcements on Russian corporate bond market

Abstract

This research study examines the effect of credit rating changes on Russian corporate Eurobond market. The research methodology is based on the standard event study. The study was conducted for the 4 main credit events: credit rating upgrades and downgrades, positive and negative outlooks. Three international credit rating agencies are studied: Moody’s, S&P and Fitch. A sample of 24 nonfinancial corporations with issued Eurobonds has been examined providing 198 credit rating announcement events. The empirical results provide evidence that negative announcements have significant impact on Eurobond prices in the studied event window. However, rating upgrades and positive outlooks lead to the moderate price response with much lower magnitude.