Centro de Documentacion de Fundación MAPFRE - An lnvestigation of the short-run and long-run stock returns surrounding insurer rating changes

MAP20180009990

An lnvestigation of the short-run and long-run stock returns surrounding insurer rating changes / Leon Chen, Jennifer J. Gaver, Steven W. Pottier

Sumario: We find that stock returns move in the direction of insurer rating changes in the 12-month period prior to the announcement. There is an additional stock price response following the announcement of a downgrade, but no response to upgrade announcements. The reaction to a downgrade is more pronounced when it involves a smaller insurer, when it spans multiple levels, or when it is a threshold downgrade. Returns are significantly more negative during the 12 months leading up to a downgrade announcement during the financial crisis (2008 and 2009) compared to other sample years

En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 01/03/2018 Volumen 85 Número 1 - marzo 2018 , p. 35-67

1. Calificaciones crediticias . 2. Riesgo financiero . 3. Mercado de seguros . 4. Solvencia . 5. Crisis financiera . 6. Análisis del valor para el accionista . 7. Rendimiento . 8. Empresas de seguros . 9. Ratios de gestión . I. Título.