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

Notes: 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 yearsRelated records: 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. 35-67Materia / lugar / evento: Calificaciones crediticias Riesgo financiero Mercado de seguros Solvencia Crisis financiera Análisis del valor para el accionista Rendimiento Empresas de seguros Ratios de gestión Other categories: 212

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