The Effect of Credit Rating Actions on European Government Bonds - Bulega, Mirco
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This paper examines the effect of credit rating announcements released by the three major rating agencies on European government bonds by looking at one key area, and three interrelated topics. Firstly, I evaluate the impact of credit rating announcements on European government bond returns. Secondly, I appraise their effect on the slope of the sovereign yield curve. Thirdly, I assess the implications of the European sovereign debt crisis on the credit rating announcement effect. Fourthly, I analyse how rating changes influence government bond abnormal returns, depending on the country's…mehr

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Produktbeschreibung
This paper examines the effect of credit rating announcements released by the three major rating agencies on European government bonds by looking at one key area, and three interrelated topics. Firstly, I evaluate the impact of credit rating announcements on European government bond returns. Secondly, I appraise their effect on the slope of the sovereign yield curve. Thirdly, I assess the implications of the European sovereign debt crisis on the credit rating announcement effect. Fourthly, I analyse how rating changes influence government bond abnormal returns, depending on the country's membership of the Eurozone or not, and whether the country is in the "Peripheral area" or not.
Autorenporträt
Mirco is an Economist at Edmond de Rothschild in London, covering Emerging Markets. Previously, he was in the European Economics team at Credit Suisse, covering the Eurozone. He holds a BSc in Economics from the University of Rome, a MSc in Finance from Bocconi University, and a MSc in Business and Economics from the Stockholm School of Economics.