Date of Award

1-1-2010

Thesis Type

Bachelor

Document Type

Dissertation

Divisions

Faculty of Business and Accountancy formally known as Faculty of Business and Economics

Institution

Universiti Malaya

Abstract

Studies on informational efficiency in the financial markets have always attracted a large following, both from market players and the research community alike. The relative illiquidity of bond markets however have rendered researches done on the informational content of corporate bond rating announcements and its effects on bond yields to produce mixed findings. Studies on this area within the Malaysian context in recent years too have been small and inconclusive. This paper aims to study on the presence and effects of informational content in corporate bond ratings announcements (upgrades and downgrades) in the Malaysian context through the application of the market model and the event study methodology. Results from the analysis found that there are informational content in corporate bond rating downgrade announcements as perceived by the investing public which is also inline with earlier findings. However, it appears from this study that the investing public also perceives the existence of new information in bond rating upgrade announcements which deviates from the majority of findings. Further analysis on the impact of magnitude of rating change over stock returns indicated significant market reaction towards small upgrades (upgrade rating changes of one notch) and big downgrades ( downgrade rating changes of two notches and more).

Comments

Bachelor's degree - Faculty of Business and Economics, Universiti Malaya, 2010.

Additional Information

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