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Revista Brasileira de Gestão de Negócios

Print version ISSN 1806-4892On-line version ISSN 1983-0807


BARACCAT, Bruno Borges; BORTOLUZZO, Adriana Bruscato  and  GONCALVES, Adalto Barbaceia. Rating changes and the impact on stock prices. Rev. bras. gest. neg. [online]. 2020, vol.22, n.spe, pp.539-557.  Epub July 10, 2020. ISSN 1983-0807.


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


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.


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.


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.

Keywords : Credit ratings; Stock market; Event study; Market efficiency.

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