Journal of Accounting and Economics Vol. 8 No. 3 1986
The effect of preferred stock rating changes on preferred and common stock prices
Abstract
Daily returns are used to investigate the effect of preferred stock rating change announcements on preferred and common stock prices. Announcements that are free of confounding events, ‘clean’ announcements, significantly affect preferred stock prices. However, the effect occurs after the day of announcement, mostly on event day +1. Conversely, there is no evidence ‘clean’ announcements affect common stock prices. Larger preferred stock abnormal returns are associated with announcements that are contaminated by confounding events, but the abnormal returns appear to be the result of the confounding events more than the rating change.
- DOI
- 10.1016/0165-4101(86)90003-0
- Volume
- 8
- Issue
- 3
- Pages
- 197-215
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref