An Investigation of the Short-Run and Long-Run Stock Returns Surrounding Insurer Rating Changes

Chen Leon; Gaver Jennifer J.; Pottier Steven W.

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An Investigation of the Short-Run and Long-Run Stock Returns Surrounding Insurer Rating Changes

机译：围绕保险公司评级变化的短期和长期股票收益的调查

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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 years.

机译：我们发现，在公告发布前的12个月内，股票收益率朝着保险公司评级变化的方向发展。在宣布降级之后，还有其他股价响应，但对升级公告没有响应。当降级涉及较小的保险公司，跨多个级别或为降级门槛时，对降级的反应会更加明显。与其他样本年相比，在金融危机期间（2008年和2009年）宣布降级之前的12个月内，回报显着更为负。

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来源
《The Journal of Risk and Insurance》 |2018年第1期|35-67|共33页
作者
Chen Leon; Gaver Jennifer J.; Pottier Steven W.;
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Minnesota State Univ, Dept Finance, Coll Business, Mankato, MN 56001 USA;

Univ Georgia, Terry Coll Business, JM Tull Sch Accounting, Athens, GA 30602 USA;

Univ Georgia, Terry Coll Business, Dept Insurance Legal Studies & Real Estate, Athens, GA 30602 USA;

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An Investigation of the Short-Run and Long-Run Stock Returns Surrounding Insurer Rating Changes

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