The Impact of Credit Rating Changes on Stock Returns: A Study on NSE Listed Companies

Jitendra Rabada, Riancy Mascarenhas, Arti Gurudas Salaskar

Abstract

This study examines the influence of credit rating changes on the stock returns of NSE listed companies using an event study approach over a 40-day event window. Large cap, mid cap, and small cap companies are analysed, aiming to determine if investors react strongly to credit rating changes and if there is a notable difference in share price before and after the rating announcement. The research includes 30 NSE listed companies with credit ratings announced by Moody & Fitch from January 2010 to January 2023. The findings reveal that credit rating changes significantly impact stock returns, with downgrades having a greater effect on share prices compared to upgrades.